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PDE

Articles

A Short History of Computational Finance 1990-2020, a Partial Differential (PDE/FDM) Approach

12 October 2022 Editor Comments Off on A Short History of Computational Finance 1990-2020, a Partial Differential (PDE/FDM) Approach

Daniel J. Duffy’s historical review focuses on the applicability of partial
differential equation (PDE) techniques and related numerical
methods, particularly Finite Difference Method (FDM)
that are applied to option pricing and hedging applications. […]

Articles

The Alternating Direction Explicit (ADE) Method for One-Factor Problems

13 February 2019 Editor Comments Off on The Alternating Direction Explicit (ADE) Method for One-Factor Problems

In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss […]

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