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Finite Differences
3.1 Finite Differences in Logarithmic Prices
ALGORITHM 3.1. Euler explicit scheme
3.2 Upwinding
3.3 Finite Differences in the Primitive Variables
3.4 Numerical Results
3.5 Which Variable Is Better?
3.6 Options on a Basket of Two Assets
3.7 An Asian Put with Fixed Strike
ALGORITHM 3.2. Crank-Nicolson
ALGORITHM 3.3. Time step
ALGORITHM 3.4. Matrix assembly 1
ALGORITHM 3.5. Matrix assembly 2
ALGORITHM 3.6. Right-hand side
The Finite Element Method
4.1 Orientation
4.2 A Generic Problem
ALGORITHM 4.4. Right-hand side
4.5 A Transparent Boundary Condition
ALGORITHM 4.5. Transparent boundary conditions
4.6 Levy Driven Assets
ALGORITHM 4.6. An elementary program
4.7 Programs for Two-Dimensional Cases
ALGORITHM 4.10. Two-dimensional Black-Scholes
ALGORITHM 4.11. Stochastic volatility
ALGORITHM 4.12. Compressed sparse row storage
ALGORITHM 4.13. Matrix-vector product
4.8 Programming in Dimension d > 2
4.10 Appendix: The Full Program for Two-Dimensional Black-Scholes
ALGORITHM 4.14. Two-dimensional Black-Scholes
5.1 The Black-Scholes Equation and Some Discretizations
5.2 Error Indicators for the Black-Scholes Equation
5.3 Conclusion
5.4 A Taste of the Software
ALGORITHM 5.1. Euler_scheme
ALGORITHM 5.2. Time step
ALGORITHM 5.3. Right-hand side
ALGORITHM 5.4. Error indicator for the time mesh
5.5 Results
ALGORITHM 5.5. Refinement strategy
5.6 Mesh Adaption for a Put on a Basket of Two Assets
5.7 Appendix: Proofs
American Options
6.1 Introduction
6.2 The Variational Inequality
6.4 Discrete Approximations to the Variational Inequality
6.5 Solution Procedures
ALGORITHM 6.1. Time step
ALGORITHM 6.2. Free boundary localization
ALGORITHM 6.3. Primal-dual active set algorithm
6.6 Results
6.7 More Complex American Options
Sensitivities and Calibration
7.1 Introduction
7.2 Automatic Differentiation of Computer Programs
ALGORITHM 7.1. Automatic differentiation
7.3 Computation of Greeks
7.4 An Introduction to the Calibration of Volatility
7.5 Finite-Dimensional Differentiable Optimization
ALGORITHM 7.4. A class for an unconstrained minimization problem
ALGORITHM 7.5. Computation of the gradient by automatic differentiation
ALGORITHM 7.6. Armijo's rule
ALGORITHM 7.7. Auxiliary function for Armijo's rule
ALGORITHM 7.8. Conjugate gradient with Armijo's rule
7.6 Application: Calibration on a Basis of Solutions
7.7 Appendix
ALGORITHM 7.9. The ddouble library for automatic differentiation
ALGORITHM 7.11. An example of automatic differentiation
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Achdou,Y - Computational Methods for Option Pricing@

# Achdou,Y - Computational Methods for Option Pricing@

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05/25/2013

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