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.
|Qualification||Doctor of Philosophy|
|Award date||21 Jan 2020|
|Publication status||Published - 2020|
- American options
- finite difference methods
- stochastic volatility
- stochastic collocation