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

Chiarella, Carl

 
9789814452618: The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches
Couverture rigide
ISBN 10 : 9814452610 ISBN 13 : 9789814452618
Editeur : World Scientific Publishing Co Pte Ltd, 2014

Synopsis

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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Présentation de l'éditeur

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.

Revue de presse

The book collects in a single place results that were previously scattered in the literature and joins them using a consistent thread ... Considerable attention is devoted to the numerical solution and implementation of the methods. The feature option pricing in the general continuous-time model, but also for practitioners in need of readily applicable tools. --Mathematical Reviews

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
World Scientific Publishing Co Pte Ltd
Date d'édition
2014
Langue
anglais
ISBN 10 
9814452610
ISBN 13 
9789814452618
Reliure
Relié
Nombre de pages
224
Coordonnées du fabricant
non disponible
Personne responsable
gpsr@libri.de
gpsr@libri.de

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