Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance

Fabien Le Floch

doi:10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance

Fabien Le Floch

Numerical Analysis

Research output: Thesis › Dissertation (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 language	English
Qualification	Doctor of Philosophy
Awarding Institution	Delft University of Technology
Supervisors/Advisors	Oosterlee, Kees, Supervisor Grzelak, Lech, Advisor
Award date	21 Jan 2020
DOIs	https://doi.org/10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba
Publication status	Published - 2020

Keywords

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

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10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

dissertationFinal published version, 2.3 MBLicence: Unspecified

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title = "Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance",

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.",

keywords = "American options, finite difference methods, TR-BDF2, stochastic volatility, stochastic collocation",

author = "{Le Floch}, Fabien",

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type = "Dissertation (TU Delft)",

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AU - Le Floch, Fabien

PY - 2020

Y1 - 2020

N2 - 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.

AB - 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.

KW - American options

KW - finite difference methods

KW - TR-BDF2

KW - stochastic volatility

KW - stochastic collocation

U2 - 10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

DO - 10.4233/uuid:5dded994-0323-4508-aeba-e47a66a6d5ba

M3 - Dissertation (TU Delft)

ER -

Advanced and Accurate Discretization Schemes for Relevant PDEs in Finance

Abstract

Keywords

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