Using Finite Element and Finite Difference Methods to Price European Options
Included applications:
- Grid centered Finite Difference Analysis
- Crank Nicolson Method
- Method of Weighted Residuals Finite Element Analysis
- 2D Temporal-Price FEA using Black-Scholes PDE
- Transformation of Black-Scholes PDE from Advection-Diffusion PDE to standard Heat PDE
- Stochastic Calculus
- Geometric Brownian Motion
- Ito's Lemma