The Numerical Solution of the American Option Pricing Problem : Finite Difference and Transform Approaches
| Author | : | |
| Rating | : | 4.31 (916 Votes) |
| Asin | : | 9814452610 |
| Format Type | : | paperback |
| Number of Pages | : | 224 Pages |
| Publish Date | : | 2016-07-24 |
| Language | : | English |
DESCRIPTION:
In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limita
From the Inside Flap The early exercise opportunity of an American option makes it challenging to price. . It clearly explains and demonstrates the advantages and limitations of each of them using several examples. 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
Four Stars The book is what I have expected.
His research interests include financial derivatives pricing, computational finance, financial mathematics, energy and volatility derivatives modeling, time-consistent dynamic risk measures, Markov decision processes and their applications.Gunter Meyer is Professor Emeritus of Mathematics at the Georgia Institute of Technology in At