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The numerical solution of the American option pricing problem : finite difference and transform approaches /
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 a...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New Jersey :
World Scientific Pub.,
2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 pr. |
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| Descripción Física: | 1 online resource |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9789814452625 9814452629 |