titled: Applying finite difference methods to the Black-Scholes equation Pricing a vanilla European option by an explicit method Pricing a vanilla European option by a fully implicit method Pricing a barrier option by the Crank-Nicolson method Dealing with American options For further reading Reference...
Finite Difference is a popular numerical method for option pricing, which converts the continuous stochastic process to a discrete-time problem according to the partial differential equation of options. To illustrate the process of adopting the finite difference method to price an option, let us star...
Finite Difference Methods for Barrier Optionsfinite difference methodbarrier optioncontinuous monitoringdiscrete monitoringdiscretization methodsCrank–NicolsonRannachercoordinate transformationThis article describes the numerical solution of partial differential equations (PDEs) in the context of computational finance ...
Finite Difference MethodsLaplace Transform MethodsPartial Differential EquationsFractional Partial Differential EquationsIn this paper, we propose a hybrid Laplace transform and finite difference method to price (finite-maturity) American options, which is applicable to a wide variety of asset price models ...
finite difference methodA numerical method is presented for valuing vanilla American options on a single asset that is up to fourth-order accurate in the log of the asset price, and second-order accurate in time. The method overcomes the standard difficulty encountered in developing high-order ...
1)finite difference method (FDM)有限差分法(FDM) 2)finite-difference method有限差分法 1.Three-Dimensional Finite-difference Method Analysis Appliance to The Pipe-shed Entrance of Large Span Tunnel;浅埋大跨度隧道管棚支护进洞三维有限差分法分析 2.According to the variation process of water quality ...
We propose a Sliced-Finite Difference (SFD) numerical method, to solve the pricing problem of American put options. The proposed method combines the advantages of the semi-analytical method and the sliced-fixed boundary finite difference method and overcomes their deficiencies. Using the SFD method,...
In the financial field,Option pricing is an important research direction.In this article We focus on the pricing of American put option.By introducing boundary condition and using finite difference method,this differential equations can be converted to matrix form.We apply the Kronecker Product to so...
FiniteDifferenceMethodforSolvin g American PutO p tionundertheBlack-ScholesModel LIJingshi , WANGZhiyu , ZHUBenxi , SONGHaiming ( CollegeofMathematics , JilinUniversity , Changchun130012 , China ) Abstract : ThispaperdealswiththeAmericanputoptionpricingproblemgovernedbytheBlack Scholesequation.Applyingfinit...
The finite difference method is a powerful tool for computational physics. This post covers how to implement a GPU-accelerated finite difference code using AMD's HIP API.