Version pdf de ce document

Premia 14 Finite Difference Methods

Topics:

The Finite Difference Methods

Finite Difference in the BS1D model

Finite Difference in the BS2D model

Finite Volume in the BS2D model

Finite Element Methods for Barrier Options

Finite Element Methods for Asian Options

Finite Difference Methods for Asian Options

Multigrid Methods

Finite Difference in the Merton model

Adaptive Finite Element

Finite Difference for Local Volatility Models

Finite Difference for Levy Models

Finite Difference for American Options in Tempered Stable model

Finite Difference in High Dimensional Models

Finite Difference for Bates model

Sparse Grid Finite Difference methods

Transparent boundary conditions for solving numerically the Black-Scholes equation

Efficient pricing of Swing options in Lévy-driven models

Numerical methods and volatility models for valuing cliquet options