Mathematical Modeling and Methods of Option Pricing - Rilegato

Jiang, Lishang

Rilegato

ISBN 10: 9812563695 ISBN 13: 9789812563699

Casa editrice: World Scientific Pub Co Inc, 2005

Riassunto

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.

Su questo libro

Product Description

HARD TO FIND

Dettagli dell'edizione

• Editore: World Scientific Pub Co Inc
• Data di pubblicazione: 2005
• Lingua: Inglese
• ISBN 10: 9812563695
• ISBN 13: 9789812563699
• Rilegatura: Copertina rigida
• Numero di pagine: 329
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile