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
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Book ChapterDOI
Beyond Black and Scholes
TL;DR: In this article, partial integro-differential equations (PIDEs) are applied to an uncertain-volatility model with a barrier call and the Fourier transform is used for option pricing.
Journal ArticleDOI
Accurate and Efficient Computations of the Greeks for Options Near Expiry Using the Black-Scholes Equations
TL;DR: This work proposes a new adaptive time-stepping algorithm based on local truncation error that is fast, accurate, and practical in computing option price and the Greeks.
Dissertation
Towards efficient nonlinear option pricing
TL;DR: 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, using the numerical PDE approach.
Journal ArticleDOI
Gaussian models for Euro high grade government yields
TL;DR: The authors compared affine, quadratic and black-type Gaussian models on Euro area triple-A Government bond yields for maturities up to 30 years, and found that the latter best fits the shortest maturity and the extremely low yields since 2013, while the latter worst fits the longest maturity.