Non-Uniform Grids for PDE in Finance
23 Pages Posted: 23 Nov 2007 Last revised: 28 Oct 2009
Date Written: December 15, 2000
In this paper, we consider non-uniform grids to solve PDE. We derive the theta-scheme algorithm based on finite difference methods and show its consistency. We then apply it to different option pricing problems.
Keywords: Theta-scheme, non-uniform grids, temporal grids, cubic spline interpolation, european option, american option, barrier option.
JEL Classification: G00
Suggested Citation: Suggested Citation