Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution

Düring, Bertram (2005) Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution. Doctoral thesis (PhD), J. Gutenberg-Universität Mainz, Germany.

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Abstract

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices.

Item Type: Thesis (Doctoral)
Keywords: Ph.D. thesis
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Depositing User: Bertram During
Date Deposited: 06 Feb 2012 21:22
Last Modified: 18 Sep 2014 13:22
URI: http://sro.sussex.ac.uk/id/eprint/31003
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