Chiarella Carl Et Al Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches 9789814452618

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Автор: Chiarella Carl Et Al
Название: Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches
ISBN: 9789814452618
Издательство: World Scientific Publishing
Классификация:

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ISBN-10: 9814452610
Обложка/Формат: Hardback
Страницы: 224
Вес: 0.47 кг.
Дата издания: 02.12.2014
Серия: Economics/Business/Finance
Язык: English
Иллюстрации: Black & white illustrations
Размер: 229 x 152 x 14
Читательская аудитория: Postgraduate, research & scholarly
Ключевые слова: Finance, BUSINESS & ECONOMICS / Finance,BUSINESS & ECONOMICS / Investments & Securities / Options,MATHEMATICS / Applied
Основная тема: Economics & Finance / Mathematical / Quantitative Finance
Подзаголовок: Finite difference and transform approaches
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: 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.

Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches, Chiarella Carl Et Al