Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.777653
Title: Towards efficient nonlinear option pricing
Author: Tan, Shih-Hau
ISNI:       0000 0004 7963 4283
Awarding Body: University of Greenwich
Current Institution: University of Greenwich
Date of Award: 2018
Availability of Full Text:
Access from EThOS:
Access from Institution:
Abstract:
This thesis describes the development of efficient numerical solvers for a wide range of nonlinear option pricing problems, including European options, Asian options and a multi-asset case. The chosen research methodology is the numerical PDE approach which essentially is to solve the nonlinear Black-Scholes equations with the relevant nonlinear volatility functions. The emphasis is on obtaining the numerical solution with reasonable accuracy and using high-performance computation. The first approach applies the Newton-Raphson method to solve the nonlinear system resulting from the finite difference spatial discretisation. Several adjustments for improving accuracy are examined. These Newton-based solvers are combined with a semi-Lagrangian scheme to deal with the Asian option case, and one Alternative Direction Implicit (ADI) method for pricing options on multiple assets. An approach to solving large-scale problems with nonlinear volatilities with a GPU-based parallelisation framework is also proposed. Implementations on different software platforms are explained and compared. Case studies including large-scale Europe option pricing problems computed using single and multiple GPUs are discussed to demonstrate their performance compared with using sequential algorithms. These constructed solvers with parallel computing implementations essentially contribute to solving nonlinear problems in finance.
Supervisor: Lai, Choi-Hong ; Skindilias, Konstantinos Sponsor: ITN-STRIKE project ; University of Greenwich
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.777653  DOI: Not available
Keywords: QA Mathematics
Share: