Differential equations in option pricing

by Nikolai V. Shokhirev

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Links

• Comp Meth for Option pricing (PDE) http://www.ann.jussieu.fr/~pironneau/publi/publications/BSbookplan.pdf
• Numerical Methods for American Options (PDE), http://www.math.umn.edu/~bemis/finance/Amer_PIDE.pdf
• Gunter Meyer http://www.math.gatech.edu/~meyer/
• Numerical Methods in Finance http://www.math.gatech.edu/~meyer/MA6635/
• Pricing American Options by Adaptive Finite Element Method http://www.math.umd.edu/research/spotlight/options.pdf
• Introduction to Statistics of Financial Markets http://www.quantlet.de/mdstat/scripts/sfe/html/
• Monte Carlo Methods for American Options http://www.informs-cs.org/wsc04papers/219.pdf
• Pricing European and American Options with Extrapolation http://www.csie.ntu.edu.tw/~lyuu/theses/thesis_r90723064.pdf
• Ben Hambly's Home Page http://www2.maths.ox.ac.uk/~hambly/

• Knock-in American options http://www.math.nus.edu.sg/~matdm/jfm.pdf

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