Pricing American Options Under Stochastic Volatility And Stochastic Interest Rates
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Numerical Solution Of The American Option Pricing Problem The Finite Difference And Transform Approaches
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Author : Carl Chiarella
language : en
Publisher: World Scientific
Release Date : 2014-10-14
Numerical Solution Of The American Option Pricing Problem The Finite Difference And Transform Approaches written by Carl Chiarella and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-14 with Business & Economics categories.
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 pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.
Pricing American Options Under Stochastic Volatility And Stochastic Interest Rates
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Author : Jannick B. G. Schreiner
language : en
Publisher:
Release Date : 2012
Pricing American Options Under Stochastic Volatility And Stochastic Interest Rates written by Jannick B. G. Schreiner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Pricing American Options Under Stochastic Volatility And Stochastic Interest Rates
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Author : Alexey Medvedev
language : en
Publisher:
Release Date : 2007
Pricing American Options Under Stochastic Volatility And Stochastic Interest Rates written by Alexey Medvedev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik Ishwar Amin
language : en
Publisher:
Release Date : 1989
Pricing American Options With Stochastic Interest Rates written by Kaushik Ishwar Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Interest rate futures categories.
Option Pricing Interest Rates And Risk Management
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Author : Elyès Jouini
language : en
Publisher: Cambridge University Press
Release Date : 2001
Option Pricing Interest Rates And Risk Management written by Elyès Jouini and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Derivative securities categories.
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
Pricing American Options With Stochastic Interest Rates
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Author : Kaushik I. Amin
language : en
Publisher:
Release Date : 1992
Pricing American Options With Stochastic Interest Rates written by Kaushik I. Amin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with International finance categories.
An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options
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Author : Peter Carayannopoulos
language : en
Publisher:
Release Date : 1993
An Investigation Of The Impact Of Stochastic Interest Rates On The Pricing Of Equity Options written by Peter Carayannopoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Mathematical Modeling And Methods Of Option Pricing
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Author : Lishang Jiang
language : en
Publisher: World Scientific Publishing Company
Release Date : 2005-07-18
Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-07-18 with Business & Economics categories.
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Options Markets
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Author : George M. Constantinides
language : en
Publisher:
Release Date : 2001
Options Markets written by George M. Constantinides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Options (Finance) categories.
A Pricing Model For American Options With Stochastic Interest Rates
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Author : Albert Jan Menkveld
language : en
Publisher:
Release Date : 1998
A Pricing Model For American Options With Stochastic Interest Rates written by Albert Jan Menkveld and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.