A PDE Software Framework in C++11 for a Class of Path‐Dependent Options. Issue 91 (14th September 2017)

• Record Type: Journal Article
• Authors: Duffy, Daniel J.
• Is Part Of: Wilmott. Volume 2017:Issue 91(2017)
• Page Start: 48
• Page End: 57
• Publication Date: 2017-09-14
• Subjects: partial differential equations -- finite difference method -- upwinding -- ADE -- C++11; Finance -- Periodicals; Financial services industry -- Periodicals; 332
• DOI: 10.1002/wilm.10620
• Languages: English
• ISSNs: 1540-6962

Abstract

Abstract : In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.