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Pricing Financial Instruments: The Finite Difference Method
Curt Randall,Domingo Tavella +1 more
TLDR
The Pricing Equations. as mentioned in this paper and the Finite-difference method are the most commonly used methods for finite difference methods in the literature, and they can be found in:Abstract:
The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.read more
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A Markov chain approximation scheme for option pricing under skew diffusions
TL;DR: An explicit closed-form approximation of the transition density of a general skew diffusion process is obtained, which facilitates the unified valuation of various financial contracts written on assets with natural boundary behavior, e.g. in the foreign exchange market with target zones and equity markets with psychological barriers.
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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
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Multicriteria Forest Decisionmaking under Risk with Goal-Programming Markov Decision Process Models
Joseph Buongiorno,Mo Zhou +1 more
TL;DR: This study extended MDP models with both average and discounted criteria to deal with multiple, often noncommensurable and conflicting, objectives to management of mixed loblolly pine-hardwood forests in the southern United States.
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Finite Difference Techniques for Arbitrage Free SABR
Fabien Le Floc'h,Gary J. Kennedy +1 more
TL;DR: In this paper, various finite difference schemes applied to the SABR arbitrage free density problem are presented. But, the TR-BDF2 and Lawson-Swayne schemes stand out on this problem in terms of stability and speed.
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Solving finite difference schemes arising in trivariate option pricing
TL;DR: It is demonstrated that implicit methods, which have good convergence and stability properties, can now be implemented efficiently due to the recent development of techniques that allow the efficient solution of large and sparse linear systems.