Computational Methods For Option Pricing PDF Download
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Author | : Yves Achdou |
Publisher | : SIAM |
Total Pages | : 308 |
Release | : 2005-07-18 |
Genre | : Technology & Engineering |
ISBN | : 0898715733 |
Download Computational Methods for Option Pricing Book in PDF, ePub and Kindle
This book allows you to understand fully the modern tools of numerical analysis in finance.
Author | : Norbert Hilber |
Publisher | : Springer Science & Business Media |
Total Pages | : 301 |
Release | : 2013-02-15 |
Genre | : Mathematics |
ISBN | : 3642354017 |
Download Computational Methods for Quantitative Finance Book in PDF, ePub and Kindle
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.
Author | : Yves Achdou |
Publisher | : SIAM |
Total Pages | : 315 |
Release | : 2005-01-01 |
Genre | : Technology & Engineering |
ISBN | : 9780898717495 |
Download Computational Methods for Option Pricing Book in PDF, ePub and Kindle
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.
Author | : Bingxin Fei |
Publisher | : |
Total Pages | : 30 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Computational Methods for Option Pricing Book in PDF, ePub and Kindle
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. American put options are priced using the binomial model separately. Finally, we use the information to form a portfolio position using an Interactive Brokers paper trading account.
Author | : Ali Hirsa |
Publisher | : CRC Press |
Total Pages | : 440 |
Release | : 2016-04-19 |
Genre | : Business & Economics |
ISBN | : 1466576049 |
Download Computational Methods in Finance Book in PDF, ePub and Kindle
Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from his courses at Columbia University and the Courant Institute of New York University, the author also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.
Author | : Carl Chiarella |
Publisher | : World Scientific |
Total Pages | : 223 |
Release | : 2014-10-14 |
Genre | : Options (Finance) |
ISBN | : 9814452629 |
Download The Numerical Solution of the American Option Pricing Problem Book in PDF, ePub and Kindle
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 pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers'' experiences with these approaches over the years. Contents: 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 OCo 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; Conclusion; Bibliography; Index; About the Authors. Readership: Post-graduates/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians/physicists doing applied research in option pricing. Key Features: Complete discussion of different numerical methods for American options; Able to handle stochastic volatility and/or jump diffusion dynamics; Able to produce hedge ratios efficiently and accurately"
Author | : Lishang Jiang |
Publisher | : World Scientific |
Total Pages | : 344 |
Release | : 2005 |
Genre | : Science |
ISBN | : 9812563695 |
Download Mathematical Modeling and Methods of Option Pricing Book in PDF, ePub and Kindle
From the perspective of partial differential equations (PDE), this book introduces 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.
Author | : Espen Gaarder Haug |
Publisher | : Professional Finance & Investment |
Total Pages | : 586 |
Release | : 2007-01-08 |
Genre | : Business & Economics |
ISBN | : |
Download The Complete Guide to Option Pricing Formulas Book in PDF, ePub and Kindle
Accompanying CD-ROM contains ... "all pricing formulas, with VBA code and ready-to-use Excel spreadsheets and 3D charts for Greeks (or Option Sensitivities)."--Jacket.
Author | : Manfred Gilli |
Publisher | : Academic Press |
Total Pages | : 638 |
Release | : 2019-08-30 |
Genre | : |
ISBN | : 0128150653 |
Download Numerical Methods and Optimization in Finance Book in PDF, ePub and Kindle
Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques. Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested empirically. This revised edition includes two new chapters, a self-contained tutorial on implementing and using heuristics, and an explanation of software used for testing portfolio-selection models. Postgraduate students, researchers in programs on quantitative and computational finance, and practitioners in banks and other financial companies can benefit from this second edition of Numerical Methods and Optimization in Finance. Introduces numerical methods to readers with economics backgrounds Emphasizes core simulation and optimization problems Includes MATLAB and R code for all applications, with sample code in the text and freely available for download
Author | : Mengliu Lu |
Publisher | : |
Total Pages | : 22 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Option Pricing Using Monte Carlo Methods Book in PDF, ePub and Kindle
Abstract: This paper aims to use Monte Carlo methods to price American call options on equities using the variance reduction technique of control variates and to price American put options using the binomial model. We use this information to form option positions. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.