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Finite difference methods for option pricing

Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference… 
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Related topics

Related topics

15 relations
Binomial options pricing modelBlack–Scholes modelCrank–Nicolson methodEduardo Schwartz

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Excel implementation of finite difference methods for option pricing
This paper presents and explains finite difference methods for pricing options and shows how these methods may be implemented in… 
2012
2012
An implementation of the Wiener-Hopf factorization into finite difference methods for option pricing under Lévy processes
In the paper, we consider the problem of pricing options in wide classes of Levy processes. We propose a general approach to the… 
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