Year

2017

Degree Name

Doctor of Philosophy

Department

School of Mathematics and Applied Statistics

Abstract

This thesis studies the pricing of the American-style options under different formulations and frameworks. A PDE-based computational framework is adopted with focus on a novel inverse isotherm finite element method which is suited to problems with phase change as known in mechanics.

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Unless otherwise indicated, the views expressed in this thesis are those of the author and do not necessarily represent the views of the University of Wollongong.