Abstract
This chapter is devoted to exotic options, which include multifactor options and Asian options. Non-constant coefficients require numerical methods for more general PDEs than those discussed in Chapter 4. Upwind schemes, stability issues and total variation diminishing are discussed. The final part of the chapter is devoted to penalty methods, here applied to a two-asset option.
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© 2012 Springer-Verlag London Limited
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Seydel, R.U. (2012). Pricing of Exotic Options. In: Tools for Computational Finance. Universitext. Springer, London. https://doi.org/10.1007/978-1-4471-2993-6_6
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DOI: https://doi.org/10.1007/978-1-4471-2993-6_6
Publisher Name: Springer, London
Print ISBN: 978-1-4471-2992-9
Online ISBN: 978-1-4471-2993-6
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