Titlebook: Derivative Securities and Difference Methods; You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun Book 2013Latest edition Springer Science+Business Media

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flammable

Book 2013Latest editionroducts with early exercise feature) linear complementarity and free boundary problems.In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance p

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https://doi.org/10.1007/978-3-642-78871-0tion will be smaller. This method can still be used for free-boundary problems. For them there is another problem. On one side of the free boundary, the price of an American-style derivative satisfies a partial differential equation, and on the other side, it is equal to a given function. Because of

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European Style Derivativesch 30, 1999, to June 8, 2000. From these figures, we can see the following: the graphs are jagged, and the size of the jags changes all the time. This means that we cannot express . as a smooth function of ., and it is difficult to predict exactly the price at time . from the price before time .. It

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Bernstein-test

Initial-Boundary Value and LC Problemsequations. This chapter discusses numerical methods for such problems. If an American option problem is formulated as a linear complementarity problem, then the only difference between solving a European option and an American option is that if the solution obtained by the partial differential equat

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Free-Boundary Problemse written as a free-boundary problem. In Chap. 8, we have discussed how to solve a linear complementarity problem. Here, we study how to solve a free-boundary problem numerically. Many derivative security problems have a final condition with discontinuous derivatives at some point. In this case, the

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