The Numerical Solution of the American Option Pricing...

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Business & Economics - Investing
The Numerical Solution of the American...

The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches

Name: The Numerical Solution of the American Option Pricing Problem: Finite Difference and Transform Approaches
ISBN: 9789814452618

Carl Chiarella, Boda Kang, Gunter H Meyer

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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.

Categorie:

Business & Economics - Investing

Anno:

2014

Casa editrice:

World Scientific Publishing Company

Lingua:

english

Pagine:

450

ISBN 10:

9814452610