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A Finite Element Approach to Solving Leland Model for Options Pricing

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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


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