Open AccessBook
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
Citations
More filters
Posted Content
A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
Maarten Wyns,Jacques Du Toit +1 more
TL;DR: In this article, a finite volume (FV) discretization in the numerical solution of general 1D and 2D forward Kolmogorov equations is proposed for SLV models.
Journal ArticleDOI
Using Partial Differential Equations for Pricing of Goods and Services
TL;DR: In this paper, the numerical solution of partial differential equations, based on Black-Scholes model for pricing of goods and services within European option, is presented, and the formulation and numerical behavior of explicit and implicit methods that can be used in pricing for company assets in European option.
Journal ArticleDOI
Price Discontinuities in the Market for RINs
Charles F. Mason,Neil A. Wilmot +1 more
TL;DR: In this paper, the authors investigate the potential presence of jumps, as well as time varying volatility in the spot price for RINs, and demonstrate that allowing for jumps and time-varying volatility provides statistically important improvements in the modeling of prices, relative to GBM.
Dissertation
The hunt variance gamma process with applications to option pricing
TL;DR: In this article, the Hunt variance gamma process (VGPM) is used to model the risk-neutral distribution of future stock prices, and a continuous-time Markov chain approximation is found to fit the S&P 500 futures option surface.
Posted Content
Laplace Transformation Method for the Black-Scholes Equation
Hyoseop Lee,Dongwoo Sheen +1 more
TL;DR: In this paper, the authors apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thomee (IMA J. Numer. Anal., 2003) to solve the Black-Scholes equation.