Print Email Facebook Twitter A numerical method for backward stochastic differential equations with applications in finance. Title A numerical method for backward stochastic differential equations with applications in finance. Author Huijskens, T.P. Contributor Oosterlee, C.W. (mentor) Ruijter, M.J. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Applied mathematics Date 2013-07-19 Abstract This thesis starts by discussing the foundations of mathematical finance and some theoretical results on backward stochastic differential equations. We discuss some examples of these equations in mathematical finance (primarily option pricing) and develop a numerical method that can approximate solutions to these equations. Subsequently, we extend the framework to so called reflected backward stochastic differential equations and extend the numerical method to this new type of equation. This enables us to price a wide range of American options. Finally, we discuss a two-dimensional example and extend the numerical method to cope with this problem. This extension enables the pricing of options on two underlyings and we use the numerical method to price a spread option. In the final section we present the conclusions of this research. Subject bsdefinancenumerical methodoptionsbackward stochastic differential equationmathematical financeoptions pricing To reference this document use: http://resolver.tudelft.nl/uuid:84fe41f1-30f7-45d8-8612-873f25ca9057 Part of collection Student theses Document type bachelor thesis Rights (c) 2013 Huijskens, T.P. Files PDF VerslagBEP.pdf 779.98 KB Close viewer /islandora/object/uuid:84fe41f1-30f7-45d8-8612-873f25ca9057/datastream/OBJ/view