Title	High-order compact finite difference schemes for option pricing
Creator	Düring, Bertram
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2019-09-26T13:36
Description	In the hedging of electricity increasingly option contracts which are well-known in finance and risk management play an important role. The efficient pricing of option contracts is essential to facilitate their use in real-world hedging. In this talk we present a class of high-order compact finite difference schemes which are very efficient and at the same time parsimonious and memory-efficient to implement. We discuss stability and convergence results, and present results of numerical experiments.
Extent	27.0 minutes
Subject	Mathematics; Probability theory and stochastic processes; Numerical analysis; Industrial Mathematics / Modelling And Simulation
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: University of Sussex
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2020-03-25
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0389630
URI	http://hdl.handle.net/2429/73802
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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