PDE methods
The Black–Scholes PDE, the Feynman–Kac link between PDEs and expectations, and free boundaries.
1 lesson open · 2 planned
Step 16 is part of the option pricing path, a 22-step course from discounting to Black–Scholes.
Pages you can open
Planned
In learning order. These are not pages yet.
- How optimal stopping defines an American optionGraduate
- How Feynman-Kac connects a PDE to an expectationGraduate
How it connects
Builds on Stochastic calculus and SDEs Stochastic processes Arbitrage and risk-neutral pricing Differential equations Derivatives Probability
Leads to Monte Carlo and numerical pricing Derivatives Volatility and jump models
Subjects marked “connection” are linked by a related idea, not by a prerequisite.