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Numerical Laplace transformation methods for integrating linear parabolic partial differential equations

Ngounda, Edgard (Stellenbosch : University of Stellenbosch, 2009-12)

ENGLISH ABSTRACT: In recent years the Laplace inversion method has emerged as a viable alternative method for the numerical solution of PDEs. Effective methods for the numerical inversion are based on the approximation ...
A survey of computational methods for pricing Asian options

Nieuwveldt, Fernando Damian (Stellenbosch : University of Stellenbosch, 2009-03)

In this thesis, we investigate two numerical methods to price nancial options. We look at two types of options, namely European options and Asian options. The numerical methods we use are the nite di erence method and ...