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£67.61

World Scientific Publishing Company Mathematical Modeling And Methods Of Option Pricing

Name: Mathematical Modeling And Methods Of Option Pricing
Brand: World Scientific Publishing Company
Price: 67.61 GBP
Availability: InStock

Econometrics

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Description

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Product Specifications

Brand: World Scientific Publishing Company
Format: hardcover
ASIN: 9812563695
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 20 July 2005
Listed Since: 05 February 2007

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World Scientific Publishing Company Mathematical Modeling And Methods Of Option Pricing

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