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Financial Engineering Explained

Series Editor
Wim Schoutens
Department of Mathematics
Katholieke Universiteit Leuven
Heverlee, Belgium
Financial Engineering Explained is a series of concise, practical guides
to modern finance, focusing on key, technical areas of risk management
and asset pricing. Written for practitioners, researchers and students,
the series discusses a range of topics in a non-mathematical but highly
intuitive way. Each self-contained volume is dedicated to a specific topic
and offers a thorough introduction with all the necessary depth, but
without too much technical ballast. Where applicable, theory is illus-
trated with real world examples, with special attention to the numerical
implementation.

More information about this series at

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 Karel in ’t Hout

Numerical Partial
Differential Equations
in Finance Explained
An Introduction to Computational Finance
Karel in ’t Hout
Department of Mathematics and
Computer Science
University of Antwerp
Antwerp
Belgium

Financial Engineering Explained

ISBN 978-1-137-43568-2 ISBN 978-1-137-43569-9 (eBook)
DOI 10.1057/978-1-137-43569-9

Library of Congress Control Number: 2017934655

© The Editor(s) (if applicable) and The Author(s) 2017

The author(s) has/have asserted their right(s) to be identified as the author(s) of this work in
accordance with the Copyright, Designs and Patents Act 1988.
This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher,
whether the whole or part of the material is concerned, specifically the rights of translation,
reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other
physical way, and transmission or information storage and retrieval, electronic adaptation, computer
software, or by similar or dissimilar methodology now known or hereafter developed.
The use of general descriptive names, registered names, trademarks, service marks, etc. in this pub-
lication does not imply, even in the absence of a specific statement, that such names are exempt from
the relevant protective laws and regulations and therefore free for general use.
The publisher, the authors and the editors are safe to assume that the advice and information in this
book are believed to be true and accurate at the date of publication. Neither the publisher nor the
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 Preface

A few years after Black and Scholes [5] derived their famous par-
tial differential equation (PDE) for the fair values of European call
and put options, Schwartz [78] considered a finite difference discret-
ization for its approximate solution. Today, the numerical solution
of time-dependent PDEs forms one of the pillars of computational
finance. Efficient, accurate and stable numerical methods are imper-
ative for financial institutions and companies worldwide. Extensive
research is performed, both in academia and industry, into their devel-
opment, analysis and application. This book is intended as a concise,
gentle introduction into this interesting and dynamic field. Its aim is
to provide students and practitioners with an easily accessible, prac-
tical text explaining main concepts, models, methods and results. The
text is organized through a sequence of short chapters. The style is
more descriptive than (mathematically) rigorous. Numerous examples
and numerical experiments are given to illustrate results. Only some
elementary knowledge of mathematics, notably calculus and linear
algebra, is assumed.
The numerical solution processes in this book are obtained fol-
lowing the popular method of lines (MOL) approach. Here a given
time-dependent PDE is semidiscretized on a grid by finite difference
formulas, which yields a large system of ordinary differential equa-
tions (ODEs). Subsequently, a suitable temporal discretization method
is applied, which defines the full discretization.
Chapters 1 and 2 introduce financial option valuation and partial dif-
ferential equations. Next, the MOL approach is elaborated in Chapters
3–8. Much attention is paid to studying stability and convergence of

v
vi Preface

the various discretizations. Important special topics, such as bound-

ary conditions, nonuniform grids, the treatment of nonsmooth initial
data and approximation of the so-called Greeks, are included in the
discussion. In this part the Black–Scholes PDE serves as the prototype
equation for the numerical experiments. Examining numerical meth-
ods in their application to this equation provides key insight into their
properties and performance when applied to many advanced PDEs in
contemporary financial mathematics.
After having considered European call and put options as an ex-
ample, we move on to explore the numerical valuation of more
challenging modern types of options: cash-or-nothing options in
Chapter 9, barrier options in Chapter 10 and American options in
Chapter 11. The latter type of options leads to partial differential in-
equalities and an additional step in the numerical solution process is
required, where so-called linear complementarity problems are solved.
Chapter 12 is devoted to option valuation in the presence of jumps
in the underlying asset price evolution. This gives rise to partial
integro-differential equations. These equations can be viewed as PDEs
with an extra integral term. For their effective numerical solution,
operator splitting methods of the implicit-explicit (IMEX) kind are
introduced.
Chapter 13 extends the MOL approach to two-dimensional PDEs in
finance. Semidiscretization then results in very large systems of ODEs.
For the efficient temporal discretization, operator splitting methods
of the Alternating Direction Implicit (ADI) kind are discussed. As an
example, the numerical valuation of a two-asset option under the
Black–Scholes framework is considered.
Most of the chapters conclude with a short section where notes and
references to the literature are given. These are intended as pointers to
readers who wish to broaden their knowledge or deepen their under-
standing of the topics under consideration. Supplementary material to
this book will be provided on my website.
I am grateful to Peter Forsyth, Sven Foulon, Willem Hundsdorfer,
Wim Schoutens, Jari Toivanen and Maarten Wyns for their genuine
interest and their valuable suggestions and comments on prelimin-
ary versions of this book. Last but not least, I wish to thank Palgrave
Macmillan for the pleasant cooperation.

Antwerp, July 2016 Karel in ’t Hout

 Contents

1 Financial Option Valuation........................................................ 1

1.1 Financial Options ................................................................ 1
1.2 The Black–Scholes PDE ......................................................... 3

2 Partial Differential Equations .................................................... 9

2.1 Convection-Diffusion-Reaction Equations ...................................... 9
2.2 The Model Equation ............................................................. 10
2.3 Boundary Conditions ............................................................ 12
2.4 Notes and References ........................................................... 14

3 Spatial Discretization I ............................................................. 15

3.1 Method of Lines .................................................................. 15
3.2 Finite Difference Formulas ...................................................... 17
3.3 Stability ........................................................................... 21
3.4 Notes and References ........................................................... 23

4 Spatial Discretization II ............................................................ 25

4.1 Boundary Conditions ............................................................ 25
4.2 Nonuniform Grids ............................................................... 29
4.3 Nonsmooth Initial Data .......................................................... 32
4.4 Mixed Central/Upwind Discretization .......................................... 33
4.5 Notes and References ........................................................... 35

5 Numerical Study: Space ............................................................ 37

5.1 Cell Averaging.................................................................... 38
5.2 Nonuniform Grids ............................................................... 41
5.3 Boundary Conditions ............................................................ 42

vii
viii Contents

6 The Greeks ............................................................................. 45

6.1 The Greeks ....................................................................... 45
6.2 Numerical Study ................................................................. 47
6.3 Notes and References ........................................................... 50

7 Temporal Discretization ........................................................... 51

7.1 The θ-Methods ................................................................... 51
7.2 Stability and Convergence ....................................................... 52
7.3 Maximum Norm and Positivity .................................................. 58
7.4 Notes and References ........................................................... 60

8 Numerical Study: Time ............................................................. 61

8.1 Explicit Method .................................................................. 61
8.2 Implicit Methods ................................................................. 63
8.3 Notes and References ........................................................... 68

9 Cash-or-Nothing Options .......................................................... 69

10 Barrier Options ....................................................................... 75

11 American-Style Options ............................................................ 81

11.1 American-Style Options ......................................................... 81
11.2 LCP Solution Methods ........................................................... 84
11.3 Numerical Study ................................................................. 86
11.4 Notes and References ........................................................... 90

12 Merton Model ......................................................................... 91

12.1 Merton Model .................................................................... 91
12.2 Spatial Discretization ............................................................ 93
12.3 IMEX Schemes ................................................................... 95
12.4 Numerical Study ................................................................. 96
12.5 Notes and References ........................................................... 97

13 Two-Asset Options ................................................................... 99

13.1 Two-Asset Options ............................................................... 99
13.2 Spatial Discretization ............................................................ 101
13.3 ADI Schemes ..................................................................... 106
13.4 Numerical Study ................................................................. 108
13.5 Notes and References ........................................................... 111

Appendix A: Wiener Process ........................................................... 113

Appendix B: Feynman–Kac Theorem ............................................... 115

Appendix C: Down-and-Out Put Option Value .................................... 117

 Contents ix

Appendix D: Max-of-Two-Assets Call Option Value ............................. 119

Bibliography ................................................................................ 121

Index .......................................................................................... 127

 List of Figures

Figure 1.1 Payoff functions for call and put options on [0, 3K] ............... 4
Figure 1.2 Exact call and put option value functions on [0, 3K]
for t = T and parameter set (1.8) ....................................... 7
Figure 3.1 Sample grid in the (s, t)-domain, indicated by circles .............. 16
Figure 3.2 Geometric interpretation of the finite difference
formulas (3.3), (3.7), (3.10) for the first derivative f  (s) .......... 17
Figure 4.1 Mapping ϕ defined in Example 4.2.1 .................................. 30
Figure 5.1 Spatial error εi (m) versus si for m = 50 (top) and
m = 51 (bottom). Semidiscretization on uniform
grid by second-order central formulas. No cell averaging ........ 39
Figure 5.2 Spatial error e(m) versus 1/m for all 10 ≤ m ≤ 100.
Semidiscretization on uniform grid by second-order
central formulas. No cell averaging .................................... 40
Figure 5.3 Spatial error e(m) versus 1/m for all 10 ≤ m ≤ 100.
Semidiscretization on uniform grid by second-order
central formulas. With cell averaging .................................. 40
Figure 5.4 Spatial grid points corresponding to Example 4.2.1
if m = 50 ...................................................................... 41
Figure 5.5 Spatial error e(m) versus 1/m for all 10 ≤ m ≤ 100.
Semidiscretization on nonuniform grid by
second-order central formulas. Formula A for
convection: bullets. Formula B for convection:
squares. With cell averaging ............................................. 42
Figure 5.6 Spatial errors e(m) (dark squares) and eROI (m)
(light squares) versus 1/m for 100 ≤ m ≤ 1000.
Semidiscretization on nonuniform grid by
second-order central formulas. Formula B for
convection. Linear boundary condition at s = Smax .
With cell averaging ........................................................ 43

xi
xii List of Figures

Figure 6.1 Greeks for a call option for t = T and parameter set (1.8) ........ 46
Figure 6.2 Delta spatial error ed (m) versus 1/m for all
10 ≤ m ≤ 100. Semidiscretization by second-order
central formulas. Formula B for convection. With
cell averaging. Uniform grid: bullets. Nonuniform
grid: squares ................................................................. 48
Figure 6.3 Gamma spatial error eg (m) versus 1/m for all
10 ≤ m ≤ 100. Semidiscretization by second-order
central formulas. Formula B for convection. With
cell averaging. Uniform grid: bullets. Nonuniform
grid: squares ................................................................. 49
Figure 6.4 Vega spatial error ev (m) versus 1/m for all
10 ≤ m ≤ 100. Semidiscretization by second-order
central formulas. Formula B for convection. With
cell averaging. Uniform grid: bullets. Nonuniform
grid: squares ................................................................. 49
Figure 6.5 Rho spatial error er (m) versus 1/m for all
10 ≤ m ≤ 100. Semidiscretization by second-order
central formulas. Formula B for convection. With
cell averaging. Uniform grid: bullets. Nonuniform
grid: squares ................................................................. 50
Figure 7.1 Stability region θ -method with θ = 0 (shaded) ...................... 54
Figure 7.2 Stability region θ -method with θ = 12 (shaded) ...................... 55
Figure 7.3 Stability region θ -method with θ = 1 (shaded) ...................... 55
Figure 8.1 Fully discrete approximation of call option value
function for t = T obtained with the forward Euler
method if N = 75 (top) and N = 80 (bottom) ........................ 62
Figure 8.2 Temporal error  e(t;50) versus t for all
1 ≤ N ≤ 100. Backward Euler (dark bullets),
Crank–Nicolson (light squares), Crank–Nicolson
with damping (dark squares) ............................................ 64
Figure 8.3 Temporal error  e(t;200) versus t for all
1 ≤ N ≤ 100. Backward Euler (dark bullets),
Crank–Nicolson (light squares), Crank–Nicolson
with damping (dark squares) ............................................ 65
Figure 8.4 Total error E(t;m) versus 1/m with N = m/5
for 10 ≤ m ≤ 1000. Backward Euler (dark bullets),
Crank–Nicolson (light squares), Crank–Nicolson
with damping (dark squares) ............................................ 67
Figure 9.1 Exact cash-or-nothing call option value function on
[0, 3K] × [0, T] with parameter set (9.2) .............................. 70
Figure 9.2 Cash-or-nothing call option with parameter set
(9.2). Total error EROI (t;m) versus 1/m with
N = m/5 for 10 ≤ m ≤ 1000. Crank–Nicolson
method. Cell averaging without damping (dark
 List of Figures xiii

bullets). Cell averaging with damping using two

substeps (dark squares). No cell averaging but with
damping using two substeps (light squares) ......................... 71
Figure 9.3 Cash-or-nothing call option delta with parameter
set (9.2). Total error Ed,ROI (t;m) versus 1/m with
N = m/5 for 10 ≤ m ≤ 1000. Crank–Nicolson
method. Cell averaging and: no damping (dark
bullets), damping using two substeps (dark
squares) and damping using four substeps (dark
triangles). No cell averaging but with damping
using four substeps (light triangles) ................................... 72
Figure 9.4 Cash-or-nothing call option gamma with parameter
set (9.2). Total error Eg,ROI (t;m) versus 1/m with
N = m/5 for 10 ≤ m ≤ 1000. Crank–Nicolson
method. Cell averaging and: no damping (dark
bullets), damping using two substeps (dark
squares) and damping using four substeps (dark
triangles). No cell averaging but with damping
using four substeps (light triangles) ................................... 73
Figure 10.1 Exact down-and-out put option value function on
[H, 3K] × [0, T] with parameter set (10.1) ........................... 76
Figure 10.2 Down-and-out put option with parameter set
(10.1). Total error EROI (t;m) versus 1/m with
N = m/5 for 10 ≤ m ≤ 1000. Crank–Nicolson
method. Cell averaging without damping (dark
bullets). Cell averaging with damping using two
substeps (dark squares). No cell averaging but with
damping using two substeps (light squares) ......................... 77
Figure 10.3 Numerically approximated discrete down-and-out
put option value function on [0, 3K] × [0, T]
with parameter set (10.1) and monitoring times
τj = j T/5 (1 ≤ j ≤ 5) ....................................................... 78
Figure 11.1 Dark: numerically approximated American put
option value function on [ 21 K, 32 K] for t = T and
parameter set (11.10). Light: payoff function ....................... 86
Figure 11.2 Numerically approximated early exercise boundary
for the American put option and parameter set (11.10) .......... 87
Figure 11.3 American put option with parameter set (11.10).
Temporal error  e ROI (t;m) versus 1/m with
N = m/2 for 10 ≤ m ≤ 1000. Constant step
sizes. Backward Euler: light. Crank–Nicolson: dark.
Method (11.5): bullets. Method (11.6): squares.
Method (11.7): triangles .................................................. 88
Figure 11.4 American put option with parameter set (11.10).
Temporal error  e ROI (t;m) versus 1/m with
xiv List of Figures

N = m/2 for 10 ≤ m ≤ 1000. Variable step

sizes. Backward Euler: light. Crank–Nicolson: dark.
Method (11.5): bullets. Method (11.6): squares.
Method (11.7): triangles .................................................. 89
Figure 12.1 Exact put option value functions on [ 12 K, 3K] for
t = T and parameter set (12.4). Black–Scholes
value: light. Merton value: dark ......................................... 93
Figure 12.2 Put option under Merton model with parameter
set (12.4). Total error E ROI (t;m) versus 1/m
with N = m/3 for 10 ≤ m ≤ 1000. Schemes:
Crank–Nicolson (light bullets), IMEX (dark bullets) ............... 97
Figure 13.1 Payoff function for call on the maximum of two
assets option on [0, 3K] × [0, 3K] if K = 100 ......................... 100
Figure 13.2 Exact option value function for call on the
maximum of two assets on [0, 3K] × [0, 3K] for
t = T and parameter set (13.3) .......................................... 101
Figure 13.3 Sparsity pattern of A, A0 , A1 , A2 given by (13.7) if
m1 = m2 = 9. Finite difference approximation (13.5)
of mixed derivative based on formula B .............................. 105
Figure 13.4 Call option on the maximum of two assets with
parameter set (13.3). Temporal error  e ROI (t;m)
versus 1/m with N = m for 10 ≤ m ≤ 100. Schemes:
Crank–Nicolson (light bullets), Douglas with θ = 12
(light squares), CS (dark bullets), MCS with θ = 13
√
(dark squares), HV with θ = 1 – 12 2 (dark triangles) ............ 110
Figure 13.5 Call option on the maximum of two assets with
parameter set (13.3). Total error E ROI (t;m) versus
1/m with N = m for 10 ≤ m ≤ 100. Schemes:
Crank–Nicolson (light bullets), Douglas with θ = 12
(light squares), CS (dark bullets), MCS with θ = 13
√
(dark squares), HV with θ = 1 – 12 2 (dark triangles) ............. 111
 1
Financial Option Valuation

1.1 Financial Options

A financial option is a so-called derivative product. It is derived from
(depends on) a given underlying asset. This underlying asset can be
many different things, for example a stock of a company, a commodity
or a foreign currency. In precise terms:

a financial option is a contract between two parties, the holder

and the writer, which gives the holder the right, but not the
obligation, to buy from or sell to the writer a given underlying
asset at a prescribed price on or before a prescribed time.

Notice that the holder has the right to exercise, but not the obligation.
Hence, the appropriate term “option”. The prescribed price in the op-
tion contract is called the strike price or exercise price and shall be
denoted by K. The prescribed time in the contract is called the matur-
ity time or expiration time and shall be denoted by T. By convention,
the time of inception of the option is set equal to zero and shall be
called today.
The above definition encompasses two basic option types: a call
option, which gives the holder the right to buy the asset, and a put
option, which gives the holder the right to sell the asset.

© The Author(s) 2017 1

K. in ’t Hout, Numerical Partial Differential Equations in Finance Explained,
Financial Engineering Explained, DOI 10.1057/978-1-137-43569-9_1
2 Numerical Partial Differential Equations in Finance Explained

If exercising by the holder is only allowed at the maturity time, then

this is referred to as an European-style option. If exercising by the
holder is allowed at any given time up to and including the maturity
time, then it is called an American-style option. This terminology does
not have a geographical meaning. In the financial option world, a
wide variety of colourful names arises, and more of these will be en-
countered later on. Unless explicitly stated otherwise, we will always
assume that the options under consideration are European-style.
The following example illustrates the natural use of financial options
in practice.

Example 1.1.1
Consider company A, working in euros (EUR) and producing
certain high-tech machines. Company B, working in US dol-
lars (USD), places an order today with company A for such
a machine to be delivered in exactly one year from now for
the price of one million USD. Since the actual USD–EUR ex-
change rate (the value of 1 USD in terms of EUR) in one
year’s time is unknown, company A faces financial risk in this
deal. It can decide to accept this. Alternatively, it can hedge
this risk by acquiring, for example from a bank, a put option
which gives the right to sell one million USD with maturity
time T = 1 year and a certain preferred USD–EUR exchange
rate K. Thus company A has locked in a minimal amount of
EUR, namely K million, that will be received in one year’s
time. The value of K is usually chosen close to or equal to
today’s exchange rate.

The above example shows that options can be employed as an insur-

ance. In general, the use of options can be viewed as redistributing
financial risk between parties. The trading of options has grown rap-
idly over the past decades and is performed both at exchanges and
over-the-counter (OTC), that is, directly between two market parties.
It should be clear that options have financial value. The writer of an
option is compensated upfront for taking on financial risk. One of the
key questions of mathematical finance is:
what, if any, is the fair value of a financial option at inception ?
This question constitutes a fundamental problem, which has been
open in the literature for many years. Pioneers of modern option
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