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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Af: Song Wang Engelsk Paperback
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kr 99

The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Af: Song Wang Engelsk Paperback

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 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 numerical results 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.

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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 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 numerical results 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.

Produktdetaljer
Sprog: Engelsk
Sider: 94
ISBN-13: 9789811595578
Indbinding: Paperback
Udgave:
ISBN-10: 9811595577
Kategori: Numerisk analyse
Udg. Dato: 28 okt 2020
Længde: 0mm
Bredde: 235mm
Højde: 155mm
Forlag: Springer Verlag, Singapore
Oplagsdato: 28 okt 2020
Forfatter(e): Song Wang
Forfatter(e) Song Wang


Kategori Numerisk analyse


Sprog Engelsk


Indbinding Paperback


Sider 94


Udgave


Længde 0mm


Bredde 235mm


Højde 155mm


Udg. Dato 28 okt 2020


Oplagsdato 28 okt 2020

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