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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chiarella, Carl
Otros Autores: Kang, Boda, Meyer, Gunter H.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New Jersey : World Scientific Pub., 2014.
Temas:
Options (Finance) > United States.
Options (Finance) > Mathematical models.
Options (Finances) > États-Unis.
Options (Finances) > Modèles mathématiques.
BUSINESS & ECONOMICS > Finance.
Options (Finance)
Options (Finance) > Mathematical models
United States
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Introduction
  • The Merton and Heston model for a call
  • American call options under jump-diffusion processes
  • American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach
  • Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach
  • A numerical approach to pricing American call options under SVJD
  • Conclusions
  • Bibliography
  • Index.

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