Non uniform grids for PDE in finance∗
نویسنده
چکیده
In this paper, the authors consider non uniform grids to solve PDE in finance. The origin of the problem comes of the fact that computing value-at-risk every day is time-consuming when several options are priced with nite di erence methods. One of solution is then to use smaller discretization points. In this case, non uniform grids can then be used to solve PDE with better accuracy than uniform grids. First a solution algorithm is derived and consistency and stability issues are considererd. Then di erent applications to option pricing are presented. Finally, the problem of stability is studied.
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