GitHub

Black-Scholes-PDE---Numerical-Resolution

This project revisits the Black–Scholes equation and explores its numerical resolution using finite-difference schemes. We implement and compare explicit and implicit methods, assess their accuracy ...
IEEE

Extension of the FEM Analysis Using the PDE-Toolbox of Matlab with Regard to Point Loads, Line Loads, and Freeform Surface Loads: Feature Surface Concept

Abstract: In this article, we present a novel method to extend the Finite-Element-Analysis concept of Matlab's Partial-Differential-Equation (PDE) Toolbox to perform the stress calculation for any ...
IEEE

A method for generating the trimming PDE surface

Abstract: A method for trimming surfaces generated as solutions to partial differential equations (PDE) is presented. First we can use the finite difference method to calculate the PDE surface mesh ...
Risk

Partial differential equation (PDE)

A partial differential equation (PDE) is a mathematical equation that involves multiple independent variables, an unknown function that is dependent on those variables, and partial derivatives of the ...
GitHub

S-Amorotti/adaptive-pde-option-pricing

Production-style Python repository for pricing vanilla European and American options via finite-difference PDEs with adaptive spatial refinement, plus a data/ML evaluation layer for surrogate pricing ...
Risk

A finite-difference method for the valuation of variance swaps

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...