Mathematical Modeling And Methods Of Option Pricing
Book Details
Format
Hardback or Cased Book
ISBN-10
9812563695
ISBN-13
9789812563699
Publisher
World Scientific Publishing Co Pte Ltd
Imprint
World Scientific Publishing Co Pte Ltd
Country of Manufacture
SG
Country of Publication
GB
Publication Date
Jul 20th, 2005
Print length
344 Pages
Weight
622 grams
Dimensions
22.70 x 15.90 x 2.30 cms
Product Classification:
Labour economics
Ksh 19,800.00
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From the perspective of partial differential equations (PDE), this book introduces 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.
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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