Titlebook: Computational Methods for Quantitative Finance; Finite Element Metho Norbert Hilber,Oleg Reichmann,Christoph Winter Book 2013 Springer-Verl

非实体

Lévy Modelsegro-differential equations must be solved. We consider a class of price processes which can be purely discontinuous and which contains the Wiener process as special case, the class of Lévy processes. Lévy processes contain most processes proposed as realistic models for log-returns.

大约冬季

喃喃而言

图画文字

Sensitivities and Greeksdiffusion type and to more complicated contracts, closed form solutions are generally not available for pricing and calibration. Thus, prices and model sensitivities have to be approximated numerically.

Chandelier

https://doi.org/10.1007/978-3-7091-5304-8on has a unique solution and the discretization schemes for finite element and finite differences are derived. Furthermore, we describe extensions of the Black–Scholes model, like the constant elasticity of variance (CEV) and the local volatility model.

filial

https://doi.org/10.1007/978-4-431-68375-9k at options which have different exercise styles like compound options which are options on options and swing options which have multiple exercise rights. We assume that the dynamics of the stock price is modeled by a geometric Brownian motion.

龙卷风

curettage

MERIT

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