Differential equations are equations that involve in their terms both a function and their mathematical derivatives. Many of these equations arise naturally from the analysis of economic models used for the pricing of options, such as the Black-Scholes model.
Solving specific partial differential equations (PDEs) is at the core of many techniques used in the analysis of options and related financial derivatives. As you will see in this chapter, there are several techniques for solving and analyzing the results of PDEs that can be implemented in C++. ...
