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Mathematical Modeling And Methods Of Option Pricing Lishang Jiang

  • SKU: BELL-4566206
Mathematical Modeling And Methods Of Option Pricing Lishang Jiang
$ 31.00 $ 45.00 (-31%)

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Mathematical Modeling And Methods Of Option Pricing Lishang Jiang instant download after payment.

Publisher: World Scientific Publishing Company
File Extension: PDF
File size: 7.22 MB
Pages: 344
Author: Lishang Jiang
ISBN: 9789812563699, 9812563695
Language: English
Year: 2005

Product desciption

Mathematical Modeling And Methods Of Option Pricing Lishang Jiang by Lishang Jiang 9789812563699, 9812563695 instant download after payment.

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.

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