The Fitted Finite Volume and Power Penalty Methods for Option Pricing. 1st ed. 2020

種類:

電子ブック

責任表示:

by Song Wang

出版情報:

Singapore : Springer Nature Singapore : Imprint: Springer, 2020

著者名:

• Wang, Song.
• SpringerLink (Online service)

シリーズ名:

SpringerBriefs in Mathematical Methods ;

ISBN:

9789811595585 [9811595585]    

注記:

1. Introduction -- 2. European options on one asset -- 3. American options on one asset -- 4. Two-factor option models -- 5. The super-convergent finite volume method for pricing options.
This book contains mostly the author’s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice. The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numerical results demonstrate these algorithms pr

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