Abstract

Parabolic partial differential equation arise in pricing of financial derivatives. Numerical methods such as finite difference methods and monte carlo methods are used to approximate solution of this equation. In this talk, the pricing of the derivatives using the implicit method will be discussed.

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Implicit Finite Difference Method for Pricing of Derivatives

Parabolic partial differential equation arise in pricing of financial derivatives. Numerical methods such as finite difference methods and monte carlo methods are used to approximate solution of this equation. In this talk, the pricing of the derivatives using the implicit method will be discussed.