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- Finite_difference_methods_for_option_pricing abstract "Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference methods were first applied to option pricing by Eduardo Schwartz in 1977.In general, finite difference methods are used to price options by approximating the (continuous-time) differential equation that describes how an option price evolves over time by a set of (discrete-time) difference equations. The discrete difference equations may then be solved iteratively to calculate a price for the option. The approach arises since the evolution of the option value can be modelled via a partial differential equation (PDE), as a function of (at least) time and price of underlying; see for example Black–Scholes PDE. Once in this form, a finite difference model can be derived, and the valuation obtained.The approach can be used to solve derivative pricing problems that have, in general, the same level of complexity as those problems solved by tree approaches.".
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- Finite_difference_methods_for_option_pricing wikiPageWikiLink University_of_Aarhus.
- Finite_difference_methods_for_option_pricing wikiPageWikiLink University_of_the_Western_Cape.
- Finite_difference_methods_for_option_pricing wikiPageWikiLink Valuation_of_options.
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "Finite difference approach".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "Finite difference methods for option pricing".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "Finite difference methods".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "Finite difference model".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "finite difference method for option pricing".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "finite difference models".
- Finite_difference_methods_for_option_pricing wikiPageWikiLinkText "grids".
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- Finite_difference_methods_for_option_pricing subject Category:Mathematical_finance.
- Finite_difference_methods_for_option_pricing subject Category:Numerical_differential_equations.
- Finite_difference_methods_for_option_pricing subject Category:Options_(finance).
- Finite_difference_methods_for_option_pricing hypernym Methods.
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- Finite_difference_methods_for_option_pricing comment "Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference methods were first applied to option pricing by Eduardo Schwartz in 1977.In general, finite difference methods are used to price options by approximating the (continuous-time) differential equation that describes how an option price evolves over time by a set of (discrete-time) difference equations.".
- Finite_difference_methods_for_option_pricing label "Finite difference methods for option pricing".
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