The Time-Discrete Method of Lines for Options and Bonds:A PDE Approach

Gunter H Meyer
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Gunter H Meyer: Georgia Institute of Technology, USA

Abstract: The Time-Discrete Method of Lines for Options and Bonds

Keywords: Options; Bonds; PDE Formulation; Numerical Solution; Method of Lines; Stochastic Volatility; Jump Diffusion; Uncertain Parameters (search for similar items in EconPapers)
Date: 2015
ISBN: 9789814619677
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Citations: View citations in EconPapers (9)

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Chapters in this book:

Ch 1 Comments on the Pricing Equations in Finance , pp 1-56: Gunter H. Meyer
Ch 2 The Method of Lines (MOL) for the Diffusion Equation , pp 57-74: Gunter H. Meyer
Ch 3 The Riccati Transformation Method for Linear Two Point Boundary Value Problems , pp 75-92: Gunter H. Meyer
Ch 4 European Options , pp 93-115: Gunter H. Meyer
Ch 5 American Puts and Calls , pp 117-151: Gunter H. Meyer
Ch 6 Bonds and Options for One-Factor Interest Rate Models , pp 153-179: Gunter H. Meyer
Ch 7 Two-Dimensional Diffusion Problems in Finance , pp 181-259: Gunter H. Meyer

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