Open AccessA PDE Software Framework in C++11 for a Class of Path‐Dependent Options
Author(s) -
Duffy Daniel J.
Publication year - 2017
Publication title -
wilmott
Language(s) - English
Resource type - Journals
eISSN - 1541-8286
pISSN - 1540-6962
DOI - 10.1002/wilm.10620
Subject(s) - class (philosophy) , computer science , path (computing) , path dependent , software , partial differential equation , decomposition , mathematics , mathematical optimization , programming language , mathematical analysis , artificial intelligence , chemistry , organic chemistry
In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.