Computing Financial Derivatives: A Finite-Difference Approach

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretisation techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. What sets this book apart is its detailed description of mathematical modeling as well as the focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and Semi-Lagrangian time integration schemes.