book

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

Name: Options and Derivatives Programming in C++23: Algorithms and Programming Techniques for the Financial Industry
Author: Carlos Oliveira
ISBN: 9781484298275

by Carlos Oliveira

October 2023

Intermediate to advanced

312 pages

11h 1m

English

Apress

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

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 ...

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