Mathematical Modeling and Methods of Option Pricing - Hardcover

Jiang, Lishang

 
9789812563699: Mathematical Modeling and Methods of Option Pricing
Hardcover
ISBN 10: 9812563695 ISBN 13: 9789812563699
Verlag: World Scientific Publishing Co Pte Ltd, 2005

Inhaltsangabe

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

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Verlag
World Scientific Publishing Co Pte Ltd
Erscheinungsdatum
2005
Sprache
Englisch
ISBN 10 
9812563695
ISBN 13 
9789812563699
Einband
Gebundene Ausgabe
Anzahl der Seiten
329
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
preigu
mail@preigu.de

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