The Numerical Solution of the American Option Pricing Problem : Finite Difference and Transform Approaches
| Author | : | |
| Rating | : | 4.24 (851 Votes) |
| Asin | : | 9814452610 |
| Format Type | : | paperback |
| Number of Pages | : | 224 Pages |
| Publish Date | : | 2017-06-17 |
| Language | : | English |
DESCRIPTION:
Carl Chiarella is Professor of Quantitative Finance at the University of Technology, Sydney where he teaches courses in advanced instruments, derivatives, synthetic finance products and financial decision making under uncertainty. . His research interests include financial derivatives pricing, computational finance, financial mathematics, energy and volatility derivatives modeling, time-consistent dynamic risk measures, Markov decision processes and their applica
Four Stars The book is what I have expected.
The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. . It clearly explains and demonstrates the advantages and limitations of each of them using several examples. From the Inside Flap The early exercise opportunity of an American option makes it challenging to price
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. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. 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. Written in a concise and systematic manner, Chiarella, Kang and Meyer ex