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Düring, Bertram (2005) Black-Scholes type equations: mathematical analysis, parameter identification & numerical solution. Doctoral thesis (PhD), J. Gutenberg-Universität Mainz, Germany.
Full text not available from this repository.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) |
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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 |