8 有限差分法のフレームワーク

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8.1 古いフレームワーク

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8.1.1 微分演算子

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8.1.2 時間軸方向の差分スキーム

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8.1.3 境界条件

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8.1.4 Step Condition: 時間ステップ遷移時の条件

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8.1.5 有限差分モデルクラス

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8.1.6 例:アメリカンオプション

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8.1.7 時間に依存する差分演算子

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8.2 新しいフレームワーク

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8.2.1 メッシャー(離散化した確率変数の格子)

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8.2.2 差分演算子

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8.2.3 例:Black-Scholesモデル用の差分演算子

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8.2.4 初期条件、境界条件 および 時間ステップ条件

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8.2.5 時間軸方向の差分スキームとソルバー

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