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  1. Forside
  2. Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches

Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches

Af: Carl Chiarella, Boda Kang, Gunter H Meyer Engelsk Hardback

Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches

Af: Carl Chiarella, Boda Kang, Gunter H Meyer Engelsk Hardback
Tjek vores konkurrenters priser
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.
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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.
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Produktdetaljer
Sprog: Engelsk
Sider: 224
ISBN-13: 9789814452618
Indbinding: Hardback
Udgave:
ISBN-10: 9814452610
Kategori: Forside
Udg. Dato: 2 dec 2014
Længde: 0mm
Bredde: 0mm
Højde: 0mm
Forlag: World Scientific Publishing Co Pte Ltd
Oplagsdato: 2 dec 2014
Forfatter(e): Carl Chiarella, Boda Kang, Gunter H Meyer
Forfatter(e) Carl Chiarella, Boda Kang, Gunter H Meyer

Kategori Forside

ISBN-13 9789814452618

Sprog Engelsk

Indbinding Hardback

Sider 224

Udgave

Længde 0mm

Bredde 0mm

Højde 0mm

Udg. Dato 2 dec 2014

Oplagsdato 2 dec 2014

Forlag World Scientific Publishing Co Pte Ltd

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