Numerical Solutions to PDEs with Financial Applications
نویسنده
چکیده
We present details of the 1D PDE solver used in the OpenGamma Platform, showing how it can price European and American options, with and without barrier features. All the results in this paper we generated using MATLAB, and this code is included here www.opengamma.com/downloads/financial-pde-solving-matlab-examples.zip.
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متن کاملStatement of Research Interests
• Symmetry analysis of differential equations: classical and nonclassical symmetries, potential symmetries, group–invariant solutions, variational symmetries and conservation laws • Applications of symmetry analysis theory to mathematical models arising in mathematical physics, mathematical biology, image processing, engineering, financial mathematics and other research fields • Geometric appro...
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تاریخ انتشار 2013