fitob: General solvers for the general Black-Scholes (Fokker Planck) partial differential equation (PDE) in a multi-dimensional setting with main application in finance (option pricing).

The main focus in this package is the solving of the Black-Scholes (Fokker Planck) PDE for financial contract pricing. It offers a general script languages that describes any financial contract in an efficient and unique way. These financial pricing problems can be in multi-dimensions, for which we employ sparse grids with the combination technique. These initial value parabolic problems require an efficient linear solver, for which we developed a geometrical multigrid solver. We tested this fitob package up to 12 dimensions, where reasonable results were achieved only up to 5-8 dimensions (accuracy is problem dependent). Solving such convection-diffusion PDE in multi-dimensional setting could be beneficiary in other applications (other than finance) as well.

install.packages("fitob", repos="http://R-Forge.R-project.org")

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