A PDE Software Framework in C++11 for a Class of Path‐Dependent Options | Zendy

Duffy Daniel J. | Zendy

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A 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.

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