Store besparelser
Hurtig levering
Fri fragt over 499,-
Gemte
Log ind
0
Kurv
Kurv
Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches
Engelsk
Bogcover for Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches af Carl Chiarella, Boda Kang, Gunter H Meyer, 9789814452618
Specifikationer
Sprog:
Engelsk
Sider:
224
ISBN-13:
9789814452618
Indbinding:
Hardback
ISBN-10:
9814452610
Udg. Dato:
2 dec 2014
Størrelse i cm:
Oplagsdato:
2 dec 2014

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

Engelsk
Hardback 2014
Format:

Bog beskrivelse
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.
... Vis mere

Hos Booktok
915 kr
Læg i kurv nu
Sikker betaling
23 - 25 hverdage

Specifikationer
Sprog:
Engelsk
Sider:
224
ISBN-13:
9789814452618
Indbinding:
Hardback
ISBN-10:
9814452610
Udg. Dato:
2 dec 2014
Størrelse i cm:
Oplagsdato:
2 dec 2014
Finder produkter...
Kategori sammenhænge