Partial Differential Equations for Option Pricing  
Yves Archou
Aug 2011
134 pages

Contents
One Dimensional PDF for Option Pricing

• 
  
  The PDE
• A Finite Element Method
• Mesh Adaptivity
  

Mutlidemensional PDF for Option Pricing

• European Basket Option Pricing
• Numerical Method for European Basket Option Pricing
• American Basket Option
• Stochastic Volatility
  

Sensitivity and Calibration

• Sensitivity
• Calibration