Question: Calculating Options with Finite Elements Design an algorithm for the pricing of standard options by means of finite elements. To this end proceed as outlined
Calculating Options with Finite Elements Design an algorithm for the pricing of standard options by means of finite elements. To this end proceed as outlined in Section 5.3. Start with a simple version using an equidistant discretization step Δx. If this is working properly change the algorithm to a version with nonequidistant x-grid. Distribute the nodes xi closer around x = 0. Always place a node at the strike.
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