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Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches Chiarella, Carl (Univ Of Technology, Sydney, Australia)
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Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches
Chiarella, Carl (Univ Of Technology, Sydney, Australia)
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.
450 pages, black & white illustrations
| Medios de comunicación | Libros Hardcover Book (Libro con lomo y cubierta duros) |
| Publicado | 2 de diciembre de 2014 |
| ISBN13 | 9789814452618 |
| Editores | World Scientific Publishing Co Pte Ltd |
| Páginas | 224 |
| Dimensiones | 152 × 229 × 14 mm · 467 g |
| Lengua | Inglés |
