The option prices are modeled by the Black-Scholes equation. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. Tamara ShmidtĪbstract A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. And of course I would like to thank my family and friends for support, that they give me everyday. Especial thanks to my partner, Anna Belova, for interesting discussions and strong support during our study and work together, especially during the last two weeks. I am also thankful to all professors from the Financial Mathematics group for their interesting lectures. I am grateful for helpful advices from the course coordinator Prof. Matthias Ehrhardt, for proposing this interesting theme of research and for his useful comments and hints during the work. Anna Belova First of all I would like to thank our supervisor, Prof. Last but not least, I would like to express my gratitude to my parents for their strong support, love and patience and to my friends for being there for me whenever I needed them. Bordag for this interesting opportunity to study Financial Mathematics at Halmstad University, her constant responsiveness and indispensable help. A special thank you is directed to the head of program Prof. I am also thankful to my partner Tamara Shmidt for the time we studied and worked together. Matthias Ehrhardt for his continuous help, advice and professional guidance during the writing of this thesis. Preface First of all, I would like to thank our supervisor Prof.
Mikhail Babichĭepartment of Mathematics, Physics and Electrical engineering School of Information Science, Computer and Electrical Engineering Halmstad University
Master’s thesis in Financial Mathematics, 15 ECTS credits Supervisor: Prof. Meshfree Methods in Option Pricing Anna Belova, Tamara Shmidt Halmstad University Project Report IDE1124 School of Information Science, Computer and Electrical Engineering Halmstad University
Master’s Thesis in Financial Mathematics Anna Belova, Tamara Shmidt Technical report, IDE1124, September 28, 2011
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