Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach (ePub)
A PDE Approach
(Sprache: Englisch)
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial...
Leider schon ausverkauft
eBook
44.99 €
22 DeutschlandCard Punkte sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
Produktdetails
Produktinformationen zu „Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach (ePub)“
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.Contents:Comments on the Pricing Equations in FinanceThe Method of Lines (MOL) for the Diffusion EquationThe Riccati Transformation Method for Linear Two Point Boundary Value ProblemsEuropean OptionsAmerican Puts and CallsBonds and Options for One-Factor Interest Rate ModelsTwo-Dimensional Diffusion Problems in Finance Readership: Advanced mathematics and quantitative finance graduates, researchers, and practising financial pracitioners.Key Features:No other book discusses mathematically acceptable boundary conditions for the degenerate diffusion equations in financeThis book emphasizes on numerical early exercise boundaries and solutions near expirationIt presents extensive numerical data against which the results from competing numerical methods can be compared
Bibliographische Angaben
- Autor: Gunter H Meyer
- 2014, 288 Seiten, Englisch
- Verlag: World Scientific Publishing Company
- ISBN-10: 9814619698
- ISBN-13: 9789814619691
- Erscheinungsdatum: 27.11.2014
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 14 MB
- Mit Kopierschutz
Sprache:
Englisch
Kopierschutz
Dieses eBook können Sie uneingeschränkt auf allen Geräten der tolino Familie lesen. Zum Lesen auf sonstigen eReadern und am PC benötigen Sie eine Adobe ID.
Kommentar zu "Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach"
0 Gebrauchte Artikel zu „Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach".
Kommentar verfassen