Soňa Kilianová
Analytical and numerical methods for stock index derivative pricing
Vedúci diplomovej práce: doc. RNDr. Daniel Ševčovič, CSc.

Diplomová práca obhájená na študijnom odbore
Ekonomická a finančná matematika
v roku 2004


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Contents
Introduction
1 Indices and their derivatives
   1.1 What indices are
   1.2 Some of the more commonly-used indices
   1.3 Current stock indices
   1.4 The index derivatives
     1.4.1 Index options
2 Stock index derivative pricing model
   2.1 The n-dimensional Black-Scholes equation
     2.1.1 A stochastic equation for a derivative value
     2.1.2 Construction of a riskless portfolio
     2.1.3 The terminal conditions
   2.2 Analytical solution to the Black-Scholes equation
3 Numerical methods
   3.1 Full space-time discretization
     3.1.1 Discretization in time
     3.1.2 Spatial discretization
     3.1.3 The boundary conditions
   3.2 The additive operator splitting technique
   3.3 The order of the AOS approximation
     3.3.1 The forming matrices
     3.3.2 Error estimates
   3.4 Computational parallelism
Conclusions
References


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Stránku pripravil: Daniel Ševčovič, Ústav aplikovanej matematiky, MFF UK,Bratislava