Finite difference methods for option pricing
id:
finite-difference-methods-for-option-pricing-286-14726360
title:
Finite difference methods for option pricing
text:
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 i
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encyclopedia
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https://en.wikipedia.org/wiki/Finite_difference_methods_for_option_pricing
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date modified:
2023-03-31T08:23:22Z
main entity:
{"identifier":"Q5450390","url":"https://www.wikidata.org/entity/Q5450390"}
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