Hopscotch Methods for Two State Financial Models
Posted: 21 Nov 2007
Abstract
In this paper, we consider Hopscotch methods for solving two - state financial models. We first derive a solution algorithm for two - dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility option pricing, term structure modelling with two states and elliptic irreversible investment problems.
Keywords: Two-dimensional PDE, Hopscotch method, parabolic financial models, elliptic problems
JEL Classification: G00
Suggested Citation: Suggested Citation
Kurpiel, Adam and Roncalli, Thierry, Hopscotch Methods for Two State Financial Models. Journal of Computational Finance, Vol. 2/3, 2000, Available at SSRN: https://ssrn.com/abstract=1031661
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.