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High-order compact finite difference schemes for option pricing Düring, Bertram
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.
Item Metadata
| Title |
High-order compact finite difference schemes for option pricing
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| Creator | |
| Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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| Date Issued |
2019-09-26T13:36
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| 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.
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| Extent |
27.0 minutes
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| Subject | |
| Type | |
| File Format |
video/mp4
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| Language |
eng
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| Notes |
Author affiliation: University of Sussex
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| Series | |
| Date Available |
2020-03-25
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| Provider |
Vancouver : University of British Columbia Library
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| Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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| DOI |
10.14288/1.0389630
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| URI | |
| Affiliation | |
| Peer Review Status |
Unreviewed
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| Scholarly Level |
Faculty
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| Rights URI | |
| Aggregated Source Repository |
DSpace
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Rights
Attribution-NonCommercial-NoDerivatives 4.0 International