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Document type:
Masterarbeit 
Author(s):
Altemeyer, Raphael 
Title:
FEM for 2D Heston’s Pricing PDE 
Abstract:
In this thesis we price a Digital Double Barrier Basket option under the three-dimensional Black-Scholes model using the finite element method (FEM). We compute a benchmark solution for the FEM results with the Monte Carlo (MC) method. For each approach, we First explain the theory and then present our MATLAB implementation in detail. The implementation of the FEM is based on GeoPDEs, a suite of free software tools. We describe the structure of GeoPDEs as well as our o-scheme extension for...    »
 
Advisor:
Mirco Mahlstedt 
Referee:
Prof. Dr. Kathrin Glau 
Year:
2015 
Language:
de 
Language from translation:
de 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
TUM Institution:
Lehrstuhl für Finanzmathematik 
End of processing:
30.09.2015