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National Repository of Grey Literature 11 records found  previous11 - 11  jump to record: Search took 0.01 seconds. 
Stochastic equations and numerical solution of pricing option model
 Janečka, Adam ; Jablonský, Josef (advisor) ; Pelikán, Jan (referee)
In the present work, we study the topic of stochastic differential equations, their numerical solution and solution of models for pricing of options which follow from stochastic differential equations using the Itô calculus. We present several numerical methods for solving stochastic differential equations. These methods are then implemented in MATLAB and we investigate their properties, especially their convergence characteristics. Furthermore, we formulate two models for pricing of European call options. We solve these models using a variant of the spectral collocation method, again in MATLAB.
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