Date of Award
2009-01-01
Degree Name
Master of Science
Department
Mathematical Sciences
Advisor(s)
Osvaldo Mendez, PhD
Abstract
An introduction to boundary value problems for the heat operator will focus on the Dirichlet and Neumann problems in bounded domains. Following an overview of the basic financial principles of derivative securities, a derivation of the Black-Scholes formulae will be given. Partial differential equations as free boundary problems will then be discussed and applied to modeling the American Put option. A method of solution close to expiry will then be investigated.
Language
en
Provenance
Received from ProQuest
Copyright Date
2009
File Size
45 pages
File Format
application/pdf
Rights Holder
Walt E. Bales
Recommended Citation
Bales, Walt E., "Asymptotic Approximation of the Free Boundary for the American Put Near Expiry" (2009). Open Access Theses & Dissertations. 208.
https://scholarworks.utep.edu/open_etd/208