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The numerical solution of the Americ...

Meyer, Gunter H.

The numerical solution of the American option pricing problemfinite difference and transform approaches /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The numerical solution of the American option pricing problem/ Carl Chiarella, Boda Kang, Gunter H Meyer.
其他題名:	finite difference and transform approaches /
作者:	Chiarella, Carl.
其他作者:	Meyer, Gunter H.
出版者:	New Jersey :World Scientific Pub., : 2014.,
面頁冊數:	1 online resource.
提要註:	The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. 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. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.
標題:	Options (Finance) - Mathematical models. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc
ISBN:	9789814452625

The numerical solution of the American option pricing problemfinite difference and transform approaches /
Chiarella, Carl.

The numerical solution of the American option pricing problemfinite difference and transform approaches /[electronic resource] :Carl Chiarella, Boda Kang, Gunter H Meyer. - New Jersey :World Scientific Pub.,2014. - 1 online resource.

Includes bibliographical references and index.

Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. 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. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.

ISBN: 9789814452625Subjects--Topical Terms:

296711
Options (Finance)
--Mathematical models.

LC Class. No.: HG6024.U6 / C443 2014eb

Dewey Class. No.: 332.64/23

The numerical solution of the American option pricing problemfinite difference and transform approaches /
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245 1 4 $a The numerical solution of the American option pricing problem $h [electronic resource] : $b finite difference and transform approaches / $c Carl Chiarella, Boda Kang, Gunter H Meyer.
260 $a New Jersey : $c 2014. $b World Scientific Pub.,
300 $a 1 online resource.
504 $a Includes bibliographical references and index.
505 0 $a Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.
520 $a The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. 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. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.
588 0 $a Print version record.
650 0 $a Options (Finance) $x Mathematical models. $3 296711
650 0 $a Options (Finance) $z United States. $3 382717
700 1 $a Meyer, Gunter H. $3 382716
700 1 $a Kang, Boda. $3 382715
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc

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