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I'm looking into whether there is ANY information out there regarding the implementation of the Lattice Boltzmann method for pricing options (or other financial tasks). I am very new to the world of finance and it struck me that this might have a useful application (apart from fluid modelling).

Currently, I am a full-time MS student studying computational fluid dynamics while working part-time as a derivative structuring intern, and I figured it might be a nice future research topic.

Any info would be much appreciated.

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  • $\begingroup$ Nice idea, but I fear that this is overkill. Better use methods targeting the heat equation and diffusions directly than taking the convoluted route taking convections into account. How would you map f(x,v) to f(s)? But still, maybe Boltzmann for treating jumps might be interesting... There are a lot of works on kinetic modeling of wealth distributions&c, but this is more economics. $\endgroup$
    – Quartz
    Jan 23, 2014 at 12:43

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On one side there's a lot like A lattice Boltzmann model for the Fokker–Planck equation, on the other get a look at any PDE pricing method under diffusions. Also this is more directly on pricing.

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  • $\begingroup$ Thanks for your help! I'm currently learning about pricing methods via FDM and FEM, and was curious about LB. $\endgroup$
    – Grant Bartel
    Feb 3, 2014 at 15:00

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