Pricing of Exotic Options

  • Rüdiger U. Seydel


In Chapter 4 we discussed the pricing of vanilla options (standard options) by means of finite differences. The methods were based on the simple partial differential equation (4.2),


Upwind Scheme Underlying Asset Total Variation Diminish Barrier Option Asian Option 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer 2006

Authors and Affiliations

  • Rüdiger U. Seydel
    • 1
  1. 1.Institute of MathematicsUniversity of KölnKölnGermany

Personalised recommendations