Pricing of Exotic Options

Rüdiger U. Seydel ()
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Rüdiger U. Seydel: University of Köln, Institute of Mathematics

A chapter in Tools for Computational Finance, 2006, pp 209-237 from Springer

Abstract: Abstract In Chapter 4 we discussed the pricing of vanilla options (standard options) by means of finite differences. The methods were based on the simple partial differential equation (4.2),

Keywords: Upwind Scheme; Underlying Asset; Total Variation Diminish; Barrier Option; Asian Option (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-27926-6_6

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DOI: 10.1007/3-540-27926-1_6

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