E-Book, Englisch, 94 Seiten, eBook
E-Book, Englisch, 94 Seiten, eBook
Reihe: SpringerBriefs in Applied Sciences and Technology
ISBN: 978-981-1595-58-5
Verlag: Springer Singapore
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)
The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numericalresults demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options.
This book is appealing to researchers in financial engineering, optimal control and operations research. Financial engineers and practitioners will also find the book helpful in practice.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
1. Introduction.- 2. European options on one asset.- 3. American options on one asset.- 4. Two-factor option models.- 5. The super-convergent finite volume method for pricing options.