{"title":"一类路径依赖选项的c++ 11 PDE软件框架","authors":"D. Duffy","doi":"10.1002/wilm.10620","DOIUrl":null,"url":null,"abstract":"In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.","PeriodicalId":105808,"journal":{"name":"Financial Instrument Pricing Using C++ 2e + Website","volume":"11 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A PDE Software Framework in C++11 for a Class of Path-Dependent Options\",\"authors\":\"D. Duffy\",\"doi\":\"10.1002/wilm.10620\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.\",\"PeriodicalId\":105808,\"journal\":{\"name\":\"Financial Instrument Pricing Using C++ 2e + Website\",\"volume\":\"11 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Instrument Pricing Using C++ 2e + Website\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1002/wilm.10620\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Instrument Pricing Using C++ 2e + Website","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1002/wilm.10620","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
本文将交替方向显式(ADE)有限差分方法应用于计算金融中的一类偏微分方程。我们采用Wilmott, Lewis, and Duffy(2014)的结果，并使用系统分解方法结合c++ 1中的多范式语言特性，在此基础上设计了一个软件框架。
A PDE Software Framework in C++11 for a Class of Path-Dependent Options
In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.
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