| 书目名称 | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| 编辑 | Song Wang |
| 视频video | |
| 概述 | Offers a state-of-the-art combination of option pricing theory, numerical PDEs and optimization algorithms.Provides the state-of-the-art numerical algorithms and theories for pricing financial options |
| 丛书名称 | SpringerBriefs in Applied Sciences and Technology |
| 图书封面 |  |
| 描述 | .This book contains mostly the author’s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice. .The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numericalresults demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options...This book is appealing to researchers in financial engineering, opt |
| 出版日期 | Book 2020 |
| 关键词 | Option Pricing; Computational Finance; Black-Scholes Equations; Numerical Analysis; Optimization; Finite |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-981-15-9558-5 |
| isbn_softcover | 978-981-15-9557-8 |
| isbn_ebook | 978-981-15-9558-5Series ISSN 2191-530X Series E-ISSN 2191-5318 |
| issn_series | 2191-530X |
| copyright | The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2020 |
发表于 2025-3-21 16:17:29
