Solving the barrier options model with linear time-dependent volatility numerically
| dc.contributor.author | Phate, Seeiso | |
| dc.contributor.supervisor | Mr Nchejane, Ngaka | |
| dc.date.accessioned | 2025-11-06T14:50:30Z | |
| dc.date.available | 2025-11-06T14:50:30Z | |
| dc.date.issued | 2025-07 | |
| dc.description | Honours' degree thesis | |
| dc.description.abstract | The main purp ose of this work is to approximate the solution of the barrier option pricing model whose evolution is described in terms of partial differential equation called Black-Scholes model. In this model, we consider volatility as a linear function of time. This is done primarily using a numerical approximation technique by the name of finite difference method. We consider Crank Nicolson scheme and forward difference scheme in time derivative to discretize the model and represent it as a tridiagonal matrix. Furthermore, we analyse the stability of the discretized model using Von Neumann stability analysis. We finally find the numerical solution to find key insights and the implications. | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14155/2226 | |
| dc.language.iso | en | |
| dc.publisher | National University of Lesotho | |
| dc.title | Solving the barrier options model with linear time-dependent volatility numerically | |
| dc.type | Thesis |