Hopscotch Methods for Two State Financial Models

Posted: 21 Nov 2007

See all articles by Adam Kurpiel

Adam Kurpiel


Thierry Roncalli

Amundi Asset Management; University of Evry


In this paper, we consider Hopscotch methods for solving two - state financial models. We first derive a solution algorithm for two - dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility option pricing, term structure modelling with two states and elliptic irreversible investment problems.

Keywords: Two-dimensional PDE, Hopscotch method, parabolic financial models, elliptic problems

JEL Classification: G00

Suggested Citation

Kurpiel, Adam and Roncalli, Thierry, Hopscotch Methods for Two State Financial Models. Journal of Computational Finance, Vol. 2/3, 2000. Available at SSRN: https://ssrn.com/abstract=1031661

Adam Kurpiel

LARE-efi ( email )

Avenue Leon Duguit, 33
Pessac, 608

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex

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