Chiarella, Carl (University of Technology, Australia)
Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches Chiarella, Carl (University of Technology, Australia)

Name: Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches
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Author: Chiarella, Carl (University of Technology, Australia)

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Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches

Chiarella, Carl (University of Technology, Australia)

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

メディア	書籍 Hardcover Book (ハードカバー付きの本)
リリース済み	2014年12月2日
ISBN13	9789814452618
出版社	World Scientific Publishing Co Pte Ltd
ページ数	224
寸法	152 × 229 × 14 mm · 467 g
言語	英語

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Chiarella, Carl (University of Technology, Australia) Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches Chiarella, Carl (University of Technology, Australia)

Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches

Chiarella, Carl (University of Technology, Australia)

同じ出版社からのその他の記事

Chiarella, Carl (University of Technology, Australia)
Numerical Solution of the American Option Pricing Problem, The: Finite Difference and Transform Approaches Chiarella, Carl (University of Technology, Australia)