Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance

Research output: ThesisDissertation (TU Delft)

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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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Delft University of Technology
Supervisors/Advisors
  • Oosterlee, C.W., Supervisor
  • Grzelak, L.A., Advisor
Award date21 Jan 2020
DOIs
Publication statusPublished - 2020

Keywords

  • American options
  • finite difference methods
  • TR-BDF2
  • stochastic volatility
  • stochastic collocation

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