Articles liés à Mathematical Modeling and Methods of Option Pricing

Mathematical Modeling and Methods of Option Pricing - Couverture rigide

Jiang, Lishang

 
9789812563699: Mathematical Modeling and Methods of Option Pricing
Couverture rigide
ISBN 10 : 9812563695 ISBN 13 : 9789812563699
Editeur : World Scientific Publishing Co Pte Ltd, 2005

Synopsis

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2005
Langue
anglais
ISBN 10 
9812563695
ISBN 13 
9789812563699
Reliure
Relié
Nombre de pages
344
Coordonnées du fabricant
non disponible
Personne responsable
non disponible