Practical Problems in the Numerical Solution of PDE's in Finance

In this paper we investigate the use of finite difference and finite element schemes when applied to the valuation of exotic options characterized by discontinuities in the payoff function. In particular, we will conduct a numerical analysis of several common schemes in order to give a better understanding of the numerical problems associated with the valuation of non-standard options

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Year of publication:	2013
Authors:	Fusai, Gianluca
Other Persons:	Sanfelici, Simona (contributor) ; Tagliani, Aldo (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Numerisches Verfahren \| Numerical analysis \| Finanzmathematik \| Mathematical finance \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Rendiconti per gli Studi Economici Quantitativi, Università Ca’ Foscari Venezia, Vol. 2001 (2002), 105-132 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2002 erstellt
Classification:	C0 - Mathematical and Quantitative Methods. General ; C6 - Mathematical Methods and Programming
Source:	ECONIS - Online Catalogue of the ZBW

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