Finite Elements Solutions to the Black - Scholes Equation

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dc.contributor.authorZhanatova, Nazym
dc.date.accessioned2020-05-07T14:37:11Z
dc.date.available2020-05-07T14:37:11Z
dc.date.issued2020-05-01
dc.description.abstractNowadays, for the financial industry it is important to implement mathematical tools of the advanced level. World’s well-known economists Fischer Black and Myron Scholes introduced the distinguished equation for option pricing in 1973. This Capstone project aims to find finite element solutions to the Black-Scholes Equation. For this, the Black-Scholes Equation is solved as a convection dominated problem through the Local Projection Stabilization, where Galerkin finite element method is applied to the parabolic equation. Hence, for the Local Projection Stabilization, the functions of L2 – orthogonal finite element basis of arbitrary order are constructed. These functions result in a diagonal mass matrix which are useful for time discretization.en_US
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/4610
dc.language.isoenen_US
dc.publisherNazarbayev University School of Sciences and Humanitiesen_US
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/*
dc.subjectResearch Subject Categories::MATHEMATICSen_US
dc.titleFinite Elements Solutions to the Black - Scholes Equationen_US
dc.typeCapstone Projecten_US
workflow.import.sourcescience

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