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The Numerical Solution Of The American Option Pricing Problem Finite Difference And Transform Approaches Carl Chiarella

Name: The Numerical Solution Of The American Option Pricing Problem Finite Difference And Transform Approaches Carl Chiarella
SKU: BELL-4913492
Price: 31.00 USD
Availability: InStock
Rating: 4.8 (54 reviews)

SKU: BELL-4913492

$ 31.00 ~~$ 45.00~~ (-31%)

4.8

54 reviews

The Numerical Solution Of The American Option Pricing Problem Finite Difference And Transform Approaches Carl Chiarella instant download after payment.

Publisher: World Scientific Publishing Company

File Extension: PDF

File size: 1.94 MB

Pages: 450

Author: Carl Chiarella, Boda Kang, Gunter H Meyer

ISBN: 9789814452618, 9814452610

Language: English

Year: 2014

Product desciption

The Numerical Solution Of The American Option Pricing Problem Finite Difference And Transform Approaches Carl Chiarella by Carl Chiarella, Boda Kang, Gunter H Meyer 9789814452618, 9814452610 instant download after payment.

The early exercise opportunity of an American option makes it challenging to price. 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.