Features

• Reviews the mathematical modeling of financial derivatives and the corresponding numerical methods
• Describes a method based on finite difference discretisation to solve the option pricing problem for European options
• Focuses on ways to improve the accuracy of the solutions and efficiency of the solution method
• Provides an in-depth look at a Semi-Lagrangian time integration scheme used to solve fixed strike average options

Summary

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.