Books+ Search Results
Computational methods for option pricing
Author
Title
Computational methods for option pricing [electronic resource] / Yves Achdou, Olivier Pironneau.
ISBN
9780898717495 (electronic bk.)
9780898715736 (print)
0898715733 (pbk.)
Published
Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2005.
Physical Description
1 electronic text (xviii, 297 p.) : ill., digital file.
Local Notes
Access is available to the Yale community.
Notes
Description based of title page of print version.
Access and use
Access restricted by licensing agreement.
Summary
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.
Variant and related titles
SIAM ebooks.
Other formats
Also available in print version.
Print version:
Format
Books / Online
Language
English
Added to Catalog
April 16, 2021
Series
Frontiers in applied mathematics
Bibliography
Includes bibliographical references (p. 287-294) and index.
Contents
Option Pricing
Black-Scholes Equation. Mathematical Analysis
Finite Differences
The Finite Element Method
Adaptive Mesh Refinement
American Options
Sensitivities and Calibration
Calibration of Local Volatility with European Options
Calibration of Local Volatility with American Options.
Subjects
Also listed under
Society for Industrial and Applied Mathematics.
Bookmark As
Citation
