Sökning: "Jari Toivanen"

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  1. 1. Accurate Finite Difference Methods for Option Pricing

    Författare :Jonas Persson; Lina von Sydow; Per Lötstedt; Johan Tysk; Jari Toivanen; Uppsala universitet; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Finite differences; Option pricing; Adaptive methods; Numerical Analysis; Numerisk analys;

    Sammanfattning : Stock options are priced numerically using space- and time-adaptive finite difference methods. European options on one and several underlying assets are considered. These are priced with adaptive numerical algorithms including a second order method and a more accurate method. LÄS MER