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.
|Author||Janos Benk <[email protected]>|
|Maintainer||Janos Benk <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on R-Forge|
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