High-order compact finite difference schemes for option pricing
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| Title | High-order compact finite difference schemes for option pricing |
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| Number of Parts | 5 |
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| Abstract | In the hedging of electricity increasingly option contracts which are well-known in finance and risk management play an important role. The efficient pricing of option contracts is essential to facilitate their use in real-world hedging. In this talk we present a class of high-order compact finite difference schemes which are very efficient and at the same time parsimonious and memory-efficient to implement. We discuss stability and convergence results, and present results of numerical experiments. |
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