Cover Image

Crank-nicolson scheme for asian option

Saved in:

Bibliographic Details
Main Author:	Lee, Tse Yueng
Format:	Final Year Project / Dissertation / Thesis
Published:	2012
Subjects:	QA Mathematics
Online Access:	http://eprints.utar.edu.my/622/1/MSA%2D2012%2D0902242%2D1.pdf http://eprints.utar.edu.my/622/
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Crank-Nicolson scheme for solving the modified nonlinear Schrodinger equation
by: Alanazi, A. A., et al.
Published: (2021)

Numerical solution of nonlinear Schrodinger equation using Crank-Nicolson method
by: Uddin, Md. Noman
Published: (2020)

$Crank-Nicolson finite difference method for two-dimensional fractional sub-diffusion equation$

Crank-Nicolson finite difference method for two-dimensional fractional sub-diffusion equation
by: Ali, Umair, et al.
Published: (2017)

Thermal description and entropy evaluation of magnetized hybrid nanofluid with variable viscosity via Crank-Nicolson method
by: Hanif, Hanifa, et al.
Published: (2023)

Numerical Crank-Nicolson methodology analysis for hybridity aluminium alloy nanofluid flowing based-water via stretchable horizontal plate with thermal resistive effect
by: Hanif, Hanifa, et al.
Published: (2023)

Solution of Peak Junction Temperature with Crank-NicolsonÂ and SOR Approach
by: Aruchunan, E., et al.
Published: (2022)

Implementation of finite difference method based on explicit and Crank-Nicolson method to the thermomechanical ice sheet model
by: Kasmin-Bajuri, N. K. B., et al.
Published: (2016)

Crank-Nnicolson scheme for solving the modified nonlinear Schrodinger equation
by: Alanazi, A. A., et al.
Published: (2021)

Solving 1-D burgers equation using crank-nicolson with cole-hopf transformation and maccormack methods
by: Mohd. Sapawi, Nurul Hazwani
Published: (2012)

Efficient pricings for binomial Asian option under fuzzy environment
by: Elahi, Younes, et al.
Published: (2012)

Trading frequency and implied transaction costs of options: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Random binomial tree models and options
by: Ganikhodjaev, Nasir, et al.
Published: (2012)

The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market
by: Abdullah, Mimi Hafizah, et al.
Published: (2010)

Random binomial tree models and put options
by: Ganikhodjaev, Nasir, et al.
Published: (2012)

On pricing futures options on random binomial tree
by: Ganikhodjaev, Nasir, et al.
Published: (2013)

Asset allocation using option-implied moments
by: Bahaludin, Hafizah, et al.
Published: (2017)

Option-implied adjusted volatility using modified generalised Leland Models: an empirical study on Dow Jones industrial average index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2020)

The role of an option-implied distribution in improving as asset allocation model
by: Bahaludin, Hafizah, et al.
Published: (2020)

Empirical estimation of risk-neutral density from option prices
by: Bahaludin, Hafizah, et al.
Published: (2016)

Random Cox-Ross-Rubinstein Model and Plain Vanilla Options
by: Ganikhodjaev, Nasir, et al.
Published: (2013)

Pricing of American call options using regression and numerical integration
by: Beh, Woan Lin, et al.
Published: (2014)

Geometric Brownian motion and calculation of option premium in black scholes model
by: Mat, Izzati, et al.
Published: (2011)

Bond option pricing under the CKLS model
by: Khor, C. Y., et al.
Published: (2012)

Asset allocation using option-implied moments
by: Bahaludin, Hafizah, et al.
Published: (2017)

Extending generalised Leland option pricing models: simulation using Monte Carlo
by: Abdullah, Mimi Hafizah, et al.
Published: (2022)

Quarter-sweep improving Modified Gauss-Seidel Method for Pricing European Option
by: Wei, Sin Koh, et al.
Published: (2010)

Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand
by: Arunsingkarat, Somphorn, et al.
Published: (2021)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Implied adjusted volatility by leland option pricing models: evidence from Australian index options
by: Abdullah, Mimi Hafizah, et al.
Published: (2014)

Evaluating municipal solid waste disposal options by AHP-based linguistic variable weight
by: Tarmudi, Zamali, et al.
Published: (2010)

Estimation of option-implied risk-neutral into real-world density by using calibration function
by: Bahaludin, Hafizah, et al.
Published: (2016)

Estimation of option-implied risk-neutral into real-world density by using calibration function
by: Bahaludin, Hafizah, et al.
Published: (2017)

Pricing of American call options using simulation and numerical analysis / Beh Woan Lin
by: Beh, Woan Lin
Published: (2011)

Empirical performance of a model-free volatility against the different option strike size discreteness
by: Harun, Hanani Farhah, et al.
Published: (2018)

Estimating Dynamic Geometric Fractional Brownian Motion and Its Application to Long-Memory Option Pricing
by: Misiran, Masnita, et al.
Published: (2012)

Implied transaction costs by leland option pricing models: A new approach and empirical evidence
by: Abdullah, Mimi Hafizah, et al.
Published: (2011)

Random trinomial tree models and gold futures options: how to survive financial crises with mathematics
by: Ganikhodjaev, Nasir, et al.
Published: (2014)

The role of option-implied information in improving a portfolio selection
by: Abdullah, Mimi Hafizah, et al.
Published: (2020)

Implied volatility functions of BS versus Leland: empirical evidence from Australian index option market
by: Harun, Hanani Farhah, et al.
Published: (2022)

Correcting for risk premium on extended generalised Leland models: an empirical study on Dow Jones Industrial Average (DJIA) index options
by: Harun, Hanani Farhah, et al.
Published: (2021)