A Finite Element Approach to Solving Leland Model for Options Pricing

Zhumakhanova, Gulzat

dc.contributor.author	Zhumakhanova, Gulzat
dc.date.accessioned	2020-05-13T05:42:34Z
dc.date.available	2020-05-13T05:42:34Z
dc.date.issued	2020-04-30
dc.identifier.citation	Zhumakhanova, G. (2020). A Finite Element Approach to Solving Leland Model for Options Pricing (Master’s thesis, Nazarbayev University, Nur-Sultan, Kazakhstan). Retrieved from https://nur.nu.edu.kz/handle/123456789/4681	en_US
dc.identifier.uri	http://nur.nu.edu.kz/handle/123456789/4681
dc.description.abstract	In this thesis work, the Leland model for pricing of European options is studied. Firstly, the derivation of the Leland model is introduced by using Ito’s lemma and synthesized replicate portfolio methodology. Then the model is transformed to a system of equations by change of variables to which the Galerkin finite element model canbeapplied. Crank-Nicolsonfinitedifferencemethodisadoptedtosolvetheresulting differential differential algebraic finite element system with data from literature. Some numerical solutions are presented by example.	en_US
dc.language.iso	en	en_US
dc.publisher	Nazarbayev University School of Sciences and Humanities	en_US
dc.rights	Attribution-NonCommercial-ShareAlike 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/3.0/us/	*
dc.subject	Research Subject Categories::MATHEMATICS	en_US
dc.title	A Finite Element Approach to Solving Leland Model for Options Pricing	en_US
dc.type	Master's thesis	en_US
workflow.import.source	science