Afternoon Session Continued
Speaker:
Peter Forsyth, University of Waterloo, Ken Vetzal, University of Waterloo
Date and Time:
Monday, February 25, 2002 - 3:15pm to 4:15pm
Location:
Fields Institute, Room 230
Abstract:
* Non-uniform grids, convergence tests
* Fully implicit vs. Crank-Nicolson
* American options: use of the Penalty method
* Variable timesteps
* Discrete Dividends
* Discontinuous Payoffs
