In the following we shall describe finite difference approximations for some multidimensional models of pricing. More preciley, we shall consider the Heston volatility model, a Two-factors stochastic volatility model, and a model for pricing swaptions in an affine framework. For each model we shall recall some financial backgrounds, we shall introduce the finite difference approximation and the setup for numerical tests. Some tests will be also described.
Finite differences approximations for multidimensional models of pricing
Papi M;
2006-01-01
Abstract
In the following we shall describe finite difference approximations for some multidimensional models of pricing. More preciley, we shall consider the Heston volatility model, a Two-factors stochastic volatility model, and a model for pricing swaptions in an affine framework. For each model we shall recall some financial backgrounds, we shall introduce the finite difference approximation and the setup for numerical tests. Some tests will be also described.File in questo prodotto:
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