Numerical Solution of PDEs in finance

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Numerical Solution of PDEs in finance

Postby Cuchulainn » Sat Dec 15, 2018 8:36 pm

(introductory) articles on Finite Difference Method for Black Scholes PDE
Attachments
DuffyExponentialFitting.pdf
(234.26 KiB) Downloaded 17 times
From Navier-Stokes to Black-Scholes Numerical Methods in Computational Finance.pdf
(87.78 KiB) Downloaded 11 times
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Cuchulainn
 
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Re: Numerical Solution of PDEs in finance

Postby Cuchulainn » Thu Jan 03, 2019 4:54 pm

An overview of the ADE (Alternating Direction Explicit) method.

Intro Black Scholes PDE/FDM
Attachments
ADEOverview.pdf
(166.56 KiB) Downloaded 4 times
From Navier-Stokes to Black-Scholes Numerical Methods in Computational Finance.pdf
(87.78 KiB) Downloaded 5 times
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