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[00394] Numerical methods for option pricing: need and challenges

  • Session Time & Room : 5D (Aug.25, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : The stability analysis of numerical methods is often challenging. In this talk, compact schemes are considered for the variable coefficient PDEs arising in option pricing. A sufficient condition for stability of the schemes has been derived using novel difference equation based approach. The condition number of amplification matrix is also analyzed, and an estimate for the same is derived. An example is provided using MATLAB to support the assumption taken to assure stability.
  • Classification : 65N12, 65N06, 65N15
  • Format : Talk at Waseda University
  • Author(s) :
    • KULDIP SINGH PATEL (Indian Institute of Technology Patna)