Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2023

C. OliveiraOptions and Derivatives Programming in C++23https://doi.org/10.1007/978-1-4842-9827-5_11

11. Models Based on Differential Equations

Carlos Oliveira¹  

(1)

Seattle, WA, USA

 

Differential equations are equations that involve in their terms both a function and its 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 ...