Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches - Chiarella, Carl (Univ Of Technology, Sydney, Australia) - Books - World Scientific Publishing Co Pte Ltd - 9789814452618 - December 2, 2014
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Chiarella, Carl (Univ Of Technology, Sydney, Australia)
Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches

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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.

450 pages, black & white illustrations

Media Books     Hardcover Book   (Book with hard spine and cover)
Released December 2, 2014
ISBN13 9789814452618
Publishers World Scientific Publishing Co Pte Ltd
Pages 224
Dimensions 152 × 229 × 14 mm   ·   467 g
Language English  

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