Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance
Doctoral Thesis
(2020)
Author(s)
F.L.Y. Le Floch (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
Copyright
© 2020 F.L.Y. Le Floch
To reference this document use:
https://doi.org/10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba
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Publication Year
2020
Language
English
Copyright
© 2020 F.L.Y. Le Floch
Research Group
Numerical Analysis
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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.