Numerical Methods for Nonlinear Equations in Option Pricing
Author | : David Pooley |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
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Author | : David Pooley |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Author | : Julien Guyon |
Publisher | : CRC Press |
Total Pages | : 480 |
Release | : 2013-12-19 |
Genre | : Business & Economics |
ISBN | : 1466570342 |
New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi
Author | : Carl Chiarella |
Publisher | : World Scientific |
Total Pages | : 223 |
Release | : 2014-10-14 |
Genre | : Options (Finance) |
ISBN | : 9814452629 |
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 | : J. E. Dennis, Jr. |
Publisher | : SIAM |
Total Pages | : 394 |
Release | : 1996-12-01 |
Genre | : Mathematics |
ISBN | : 9781611971200 |
This book has become the standard for a complete, state-of-the-art description of the methods for unconstrained optimization and systems of nonlinear equations. Originally published in 1983, it provides information needed to understand both the theory and the practice of these methods and provides pseudocode for the problems. The algorithms covered are all based on Newton's method or "quasi-Newton" methods, and the heart of the book is the material on computational methods for multidimensional unconstrained optimization and nonlinear equation problems. The republication of this book by SIAM is driven by a continuing demand for specific and sound advice on how to solve real problems. The level of presentation is consistent throughout, with a good mix of examples and theory, making it a valuable text at both the graduate and undergraduate level. It has been praised as excellent for courses with approximately the same name as the book title and would also be useful as a supplemental text for a nonlinear programming or a numerical analysis course. Many exercises are provided to illustrate and develop the ideas in the text. A large appendix provides a mechanism for class projects and a reference for readers who want the details of the algorithms. Practitioners may use this book for self-study and reference. For complete understanding, readers should have a background in calculus and linear algebra. The book does contain background material in multivariable calculus and numerical linear algebra.
Author | : Julie De Waele |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
Author | : Wen Wang |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : Finance |
ISBN | : |
This dissertation is organized as follows: Chapter 1 is an introduction to option pricing theory; Chapter 2 focuses on theoretical model of uncertain volatility; Chapter 3 introduces the numerical methods; Chapter 4 shows the experiment results; Chapter 5 summarizes the work and points out some future research directions.
Author | : Yves Achdou |
Publisher | : SIAM |
Total Pages | : 308 |
Release | : 2005-07-18 |
Genre | : Technology & Engineering |
ISBN | : 0898715733 |
This book allows you to understand fully the modern tools of numerical analysis in finance.
Author | : L. C. G. Rogers |
Publisher | : Cambridge University Press |
Total Pages | : 348 |
Release | : 1997-06-26 |
Genre | : Business & Economics |
ISBN | : 9780521573542 |
Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.
Author | : Lishang Jiang |
Publisher | : World Scientific |
Total Pages | : 344 |
Release | : 2005 |
Genre | : Science |
ISBN | : 9812563695 |
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 | : British Computer Society. Numerical Analysis Specialist Group |
Publisher | : Gordon & Breach Publishing Group |
Total Pages | : 220 |
Release | : 1970 |
Genre | : Mathematics |
ISBN | : |