New answers tagged reference-request
4
Is not total clear to me what you are looking for - but I would say Wilmott's book is probably the most accessible reference for various forms of path-dependent options in PDE setting, so you're already in the right place IMHO.
However I would add to this two other texts:
Hull's futures, options and other derivatives. The chapters on FDM are clear and ...
Top 50 recent answers are included