SOLVING P.D.E.s NUMERICALLY

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 12 in Pricing Derivative Securities, 2000, pp 513-531 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:MechanicsApproximating the DerivativesConstructing a Discrete Time/Price GridSpecifying Boundary ConditionsObtaining a SolutionThe ‘Explicit’ MethodA First-Order ‘Implicit’ MethodCrank-Nicolson's Second-Order Implicit MethodComparison of MethodsExtensionsMore General PDEsAllowing for Lump-Sum Dividends

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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