note

Valuing Derivative Securities Using The Explicit Finite Difference Method (1990)

本稿では、デリバティブ有価証券評価のための明示的有限差分法の改善を提案している。 この変更により、より小さな時間間隔が考慮されるので、デリバティブの計算値は、基礎となる微分方程式の解に収束することが保証される。 単一の状態変数に依存 ...
IEEE

Assessing the explicit finite difference method on a massive parallel platform

Abstract: This work addresses the resolution of the transport (advection-diffusion) equation in 3D using an explicit scheme for the finite d ifference method. Our initative is motivated by the ...
Scientific Research Publishing

Hull, J., & White, A. (1990). Valuing Derivative Securities Using the Explicit Finite ...

ABSTRACT: The mortgage valuation literature is saturated with numerous studies using the contingent claims approach to value mortgages. So far, efforts are directed into two alternative model ...
IEEE

Implementation of finite difference method based on explicit and Crank-Nicolson method to ...

Abstract: Thermomechanical ice sheet model is applied to simulate ice sheet behavior in the Antarctic region. The parameters involved are ice thickness, ice temperature and ice velocity. This model is ...
GitHub

dkp116/Finite-Difference-Model-and-Monte-Carlo-

This project implements an option pricing simulator using various financial models, including the Black-Scholes model, Monte Carlo simulations, and finite difference methods. It supports pricing for ...