In the previous posts, we saw that it is easy to create a PDE solver for pricing options. But, what happens if one likes to price more complex structures like convertible bonds or variable annuities?
All posts in this series:
- Basics of a PDE solver in Matlab
- Pricing American options with a PDE solver
- Efficient pricing of barrier options
- Complex pricing models for PDE solver
An efficient way of describing an options payoff is ThetaML. In many cases, ThetaML is used as a configuration for Monte Carlo Simulations. Now, Stefanie Schraufsetter presents a new book on PDE methods based on ThetaML:
For examples on ThetaML in the context of PDE solver see the presentations from Stefanie Schraufstetter and Janos Benk at the PRMIA Workshop on Variable Annuities.