Open AccessNon-Uniform Grids for PDE in Finance
Author(s) -
Jérôme Bodeau,
Gaël Riboulet,
Thierry Roncalli
Publication year - 2000
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1031941
Subject(s) - consistency (knowledge bases) , scheme (mathematics) , mathematics , valuation of options , finite difference , mathematical optimization , finite difference method , grid , computer science , mathematical economics , finance , economics , econometrics , mathematical analysis , discrete mathematics , geometry
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.
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