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Full-Text Articles in Finance and Financial Management
On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan
On The Acceleration Of Explicit Finite Difference Methods For Option Pricing, Stephen O'Sullivan, Conall O'Sullivan
Articles
Implicit finite difference methods are conventionally preferred over their explicit counterparts for the numerical valuation of options. In large part the reason for this is a severe stability constraint known as the Courant–Friedrichs–Lewy (CFL) condition which limits the latter class’s efficiency. Implicit methods, however, are difficult to implement for all but the most simple of pricing models, whereas explicit techniques are easily adapted to complex problems. For the first time in a financial context, we present an acceleration technique, applicable to explicit finite difference schemes describing diffusive processes with symmetric evolution operators, called Super-Time-Stepping. We show that this method can …
Deterministic And Stochastic Bellman's Optimality Principles On Isolated Time Domains And Their Applications In Finance, Nezihe Turhan
Deterministic And Stochastic Bellman's Optimality Principles On Isolated Time Domains And Their Applications In Finance, Nezihe Turhan
Masters Theses & Specialist Projects
The concept of dynamic programming was originally used in late 1949, mostly during the 1950s, by Richard Bellman to describe decision making problems. By 1952, he refined this to the modern meaning, referring specifically to nesting smaller decision problems inside larger decisions. Also, the Bellman equation, one of the basic concepts in dynamic programming, is named after him. Dynamic programming has become an important argument which was used in various fields; such as, economics, finance, bioinformatics, aerospace, information theory, etc. Since Richard Bellman's invention of dynamic programming, economists and mathematicians have formulated and solved a huge variety of sequential decision …