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The Fitted Finite Volume and Power Penalty Methods for Option Pricing - Song Wang - Bog

Bag 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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9789811595578
  • Indbinding:
  • Paperback
  • Sideantal:
  • 94
  • Udgivet:
  • 28. oktober 2020
  • Udgave:
  • 12020
  • Størrelse:
  • 155x235x0 mm.
  • Vægt:
  • 454 g.
  • 8-11 hverdage.
  • 2. december 2024
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  • BLACK NOVEMBER

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Prøv i 30 dage for 45 kr.
Herefter fra 79 kr./md. Ingen binding.

Beskrivelse af 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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