Song Wang
The Fitted Finite Volume and Power Penalty Methods for Option Pricing
- Springer Nature Singapore
- 2020
- Taschenbuch
- 104 Seiten
- ISBN 9789811595578
This book contains mostly the author's up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice. 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
Mehr
Weniger
zzgl. Versand
in Kürze