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World Scientific Publishing Company The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches

Name: The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches
Brand: World Scientific Publishing Company
Price: 64.4 GBP
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Applied Mathematics

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Description

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with Psor. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.

Product Specifications

Brand: World Scientific Publishing Company
Format: hardcover
ASIN: 9814452610
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 10 October 2014
Listed Since: 02 February 2013

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World Scientific Publishing Company The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches

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