9789814452618-9814452610-The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches

The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches

ISBN-13: 9789814452618
ISBN-10: 9814452610
Author: Chiarella, Carl
Publication date: 2014
Publisher: Wspc
Format: Paperback 222 pages
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Book details

ISBN-13: 9789814452618
ISBN-10: 9814452610
Author: Chiarella, Carl
Publication date: 2014
Publisher: Wspc
Format: Paperback 222 pages

Summary

Acknowledged authors Chiarella, Carl wrote The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches comprising 222 pages back in 2014. Textbook and eTextbook are published under ISBN 9814452610 and 9789814452618. Since then The :Numerical Solution Of The American Option Pricing Problem, Finite Difference And Transform Approaches textbook was available to sell back to BooksRun online for the top buyback price or rent at the marketplace.

Description

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.

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