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A PDE Software Framework in C++11 for a Class of Path-Dependent Options

In this article we apply the Alternating Direction Explicit (ADE) finite difference method to a class of partial differential equations (PDEs) occurring in computational finance. We take the results of Wilmott, Lewis, and Duffy (2014) and we design a softward framework based on it using system decomposition methods in combination with the multiparadigm language features in C++1.