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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. 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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rdfs:label	Finite difference methods for option pricing (en)
rdfs: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. 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. (en)
dcterms:subject	Options (finance) Mathematical finance Numerical differential equations
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Wikipage revision ID	1124969612 (xsd:integer)
Link from a Wikipage to another Wikipage	Monte Carlo methods for option pricing Binomial options pricing model Options (finance) Hong Kong University of Science and Technology Underlying University of the Western Cape Interpolation Cornell University Crank–Nicolson method Mathematical finance Matlab Option (finance) Function (mathematics) Boundary value problem Louisiana State University Simon Fraser University Spot price Stencil (numerical analysis) Dividend policy Lattice model (finance) Finite difference Finite difference method Mathematical analysis Partial differential equation Differential equation Eduardo Schwartz Recursion Mathematical finance Numerical differential equations Black–Scholes equation Option time value Difference equations Dimension Special case Instituto de Pesquisa Econômica Aplicada Moneyness Trinomial tree Valuation of options Mälardalen University University of Aarhus High-dimensional space Put call parity
Link from a Wikipage to an external page	http://users.aims.ac.za/~bundi/Thesis.pdf http://www.bus.lsu.edu/academics/finance/faculty/dchance/Instructional/TN97-02.pdf http://www.goddardconsulting.ca/option-pricing-finite-diff-index.html http://www.cs.cornell.edu/Info/Courses/Spring-98/CS522/content/lab4.pdf http://www.cs.cornell.edu/Info/Courses/Spring-98/CS522/content/lecture2.math.pdf http://www.math.ust.hk/~maykwok/courses/ma571/06_07/Kwok_Chap_6.pdf https://web.archive.org/web/20060821114429/http:/www.puc-rio.br/marco.ind/katia-num.html%23finite-differences https://web.archive.org/web/20100720231957/http:/www.bus.lsu.edu/academics/finance/faculty/dchance/Instructional/TN97-02.pdf https://web.archive.org/web/20100813163124/http:/janroman.dhis.org/doc/lnotes/AFI/Finite%20Difference%20and%20MC.pdf https://web.archive.org/web/20110719120702/http:/mit.econ.au.dk/vip_htm/cmunk/noter/PDENOTE.pdf https://web.archive.org/web/20111005044000/http:/users.aims.ac.za/~bundi/Thesis.pdf https://www.sfu.ca/~rjones/bus864/notes/notes2.pdf
sameAs	Finite difference methods for option pricing Finite difference methods for option pricing Finite difference methods for option pricing Finite difference methods for option pricing
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date	2010-07-20 (xsd:date) 2011-10-05 (xsd:date)
url	https://web.archive.org/web/20100720231957/http:/www.bus.lsu.edu/academics/finance/faculty/dchance/Instructional/TN97-02.pdf https://web.archive.org/web/20111005044000/http:/users.aims.ac.za/~bundi/Thesis.pdf
has 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 the 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. (en)
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is Link from a Wikipage to another Wikipage of	QuantLib Binomial options pricing model List of numerical analysis topics Mathematical finance Employee stock option Contingent convertible bond Fugit Financial economics Finite difference method Barrier option Outline of finance Eduardo Schwartz Real options valuation

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