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Preprints of the Keldysh Institute of Applied Mathematics, 2001, 059
(Mi ipmp1111)
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Finite difference approach to option pricing
A. S. Shvedov
Abstract:
In this paper we show how it is possible to derive partial differential equations for prices of financial instruments. We discuss statement of boundary conditions also. Various difference schemes are used to solve the partial differential equations numerically. A new difference scheme is compared with traditional difference schemes. Numerical results are presented.
Citation:
A. S. Shvedov, “Finite difference approach to option pricing”, Keldysh Institute preprints, 2001, 059
Linking options:
https://www.mathnet.ru/eng/ipmp1111 https://www.mathnet.ru/eng/ipmp/y2001/p59
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