Module net.finmath.lib

Package net.finmath.finitedifference.experimental

package net.finmath.finitedifference.experimental
Algorithms using finite differences methods. PDE solvers. Representation of models and products for finite difference methods. The package contains experimental code. Usage, API, interfaces are likely to change in future version.
Author:
Christian Fries, Jörg Kienitz, Dr Ralph Rudd
  • Classes
    Class
    Description
    BlackScholesTheta
    Implementation of the theta schemes for the Black-Scholes model (still experimental).