The pricing of financial options using stochastic collocation and local volatility

Title

The pricing of financial options using stochastic collocation and local volatility: Het prijzen van financiële opties met gebruik van stochastische collocatie en lokale volatiliteit

Author

Tijink, J.J.

Contributor

Oosterlee, C.W. (mentor)

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Date

2016-08-24

To reference this document use:

http://resolver.tudelft.nl/uuid:dcb5ae46-f534-450a-b34a-4c6d756f61e2

Part of collection

Student theses

Document type

bachelor thesis

Rights

(c) 2016 Tijink, J.J.