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The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches

Autor Carl Chiarella, BODA KANG, Gunter H. Meyer
en Limba Engleză Hardback – 13 oct 2014
The early exercise opportunity of an American option makes it challenging to price. The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. It clearly explains and demonstrates the advantages and limitations of each of them using several examples.
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Specificații

ISBN-13: 9789814452618
ISBN-10: 9814452610
Pagini: 224
Dimensiuni: 152 x 229 x 14 mm
Greutate: 0.47 kg
Editura: World Scientific Publishing Company

Cuprins

The PDE Approach: Method of Lines; Finite Difference Schemes; Sparse Grid Method; The Integral Transform Approach: Fourier Transform; Laplace Transform; Mellin Transform; The Fourier Cosine Expansion Approach: FFT; Fourier Cosine Expansion; Fourier Space Time Stepping; Examples: Spread Options; Compound Options; Max and Min Options; Barrier Options; Conclusions.