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A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
Language: en
Pages: 24
Authors: Santtu Salmi
Categories:
Type: BOOK - Published: 2014 - Publisher:

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Partial-integro differential formulations are often used for pricing American options under jump-diffusion models. A survey on such formulations and numerical m
American-Type Options
Language: en
Pages: 520
Authors: Dmitrii S. Silvestrov
Categories: Mathematics
Type: BOOK - Published: 2013-11-27 - Publisher: Walter de Gruyter

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The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete t
The Numerical Solution of the American Option Pricing Problem
Language: en
Pages: 223
Authors: Carl Chiarella
Categories: Options (Finance)
Type: BOOK - Published: 2014-10-14 - Publisher: World Scientific

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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
Computational Science and Its Applications -- ICCSA 2013
Language: en
Pages: 687
Authors: Beniamino Murgante
Categories: Computers
Type: BOOK - Published: 2013-06-22 - Publisher: Springer

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The five-volume set LNCS 7971-7975 constitutes the refereed proceedings of the 13th International Conference on Computational Science and Its Applications, ICCS
A Workout in Computational Finance
Language: en
Pages: 341
Authors: Andreas Binder
Categories: Business & Economics
Type: BOOK - Published: 2013-08-13 - Publisher: John Wiley & Sons

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A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finan