Computational Methods for Option Pricing

Computational Methods for Option Pricing
Author: Yves Achdou
Publisher: SIAM
Total Pages: 315
Release: 2005-01-01
Genre: Technology & Engineering
ISBN: 9780898717495


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The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.


Computational Methods for Option Pricing
Language: en
Pages: 315
Authors: Yves Achdou
Categories: Technology & Engineering
Type: BOOK - Published: 2005-01-01 - Publisher: SIAM

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The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accura
Computational Methods for Quantitative Finance
Language: en
Pages: 301
Authors: Norbert Hilber
Categories: Mathematics
Type: BOOK - Published: 2013-02-15 - Publisher: Springer Science & Business Media

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Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an int
Computational Methods for Option Pricing
Language: en
Pages: 30
Authors: Bingxin Fei
Categories:
Type: BOOK - Published: 2011 - Publisher:

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Abstract: This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates. Am
Computational Methods in Finance
Language: en
Pages: 440
Authors: Ali Hirsa
Categories: Business & Economics
Type: BOOK - Published: 2016-04-19 - Publisher: CRC Press

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Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical meth
The Numerical Solution of the American Option Pricing Problem
Language: en
Pages: 223
Authors: Carl Chiarella
Categories: Options (Finance)
Type: BOOK - Published: 2014-10-14 - Publisher: World Scientific

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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