Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance

Doctoral thesis (2020)

Authors

F.L.Y. Le Floch Numerical Analysis -

Research Group

Numerical Analysis () (TU Delft)

DOI: https://doi.org/10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

Stochastic volatility American options Finite difference methods TR-BDF2 Stochastic collocation

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http://resolver.tudelft.nl/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

Published Date

2020

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis

Abstract

This thesis studies advanced and accurate discretization schemes for relevant partial differential equations (PDEs) in finance. We start with techniques which may be particularly useful for the pricing of so-called vanilla financial options, European or American, and then move on to more complex models for the pricing of exotic options.

Files

Dissertation.pdf

(.pdf | 2.79 Mb)