Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance
Fabien Le Floch (TU Delft - Electrical Engineering, Mathematics and Computer Science)
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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.