Non-Uniform Grids for PDE in Finance

23 Pages Posted: 23 Nov 2007 Last revised: 28 Oct 2009

See all articles by Jérôme Bodeau

Jérôme Bodeau

affiliation not provided to SSRN

Gaël Riboulet

Natixis

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: December 15, 2000

Abstract

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

Bodeau, Jérôme and Riboulet, Gaël and Roncalli, Thierry, Non-Uniform Grids for PDE in Finance (December 15, 2000). Available at SSRN: https://ssrn.com/abstract=1031941 or http://dx.doi.org/10.2139/ssrn.1031941

Jérôme Bodeau (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

Gaël Riboulet

Natixis ( email )

47 Quai d'Austerlitz
Paris, France 75014
France

Thierry Roncalli

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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