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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Om The Fitted Finite Volume and Power Penalty Methods for Option Pricing

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.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9789811595578
  • Bindende:
  • Paperback
  • Sider:
  • 94
  • Utgitt:
  • 28 oktober 2020
  • Utgave:
  • 12020
  • Dimensjoner:
  • 155x235x0 mm.
  • Vekt:
  • 454 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 23 juli 2024

Beskrivelse av The Fitted Finite Volume and Power Penalty Methods for Option Pricing

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.

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