descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2002Publisher:Springer Berlin Heidelberg

Authors: Rüdiger U. Seydel;

doi: 10.1007/978-3-662-22551-6_6 , 10.1007/978-1-4471-7338-0_6 , 10.1007/978-1-4471-2993-6_6 , 10.1007/3-540-27926-1_6 , 10.1007/978-3-540-92929-1_6 , 10.1007/978-3-662-04711-8_6

Pricing of Exotic Options

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Abstract

This chapter is devoted to exotic options, which include multifactor options and Asian options. Non-constant coefficients require numerical methods for more general PDEs than those discussed in Chapter 4. Upwind schemes, stability issues and total variation diminishing are discussed. The final part of the chapter is devoted to penalty methods, here applied to a two-asset option.

Related Organizations

Institute of Energy Economics at the University of Cologne
Germany
University of Cologne
Germany

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