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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

By: Song Wang (Author)

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Ksh 9,700.00

Format: Paperback or Softback

ISBN-13: 9789811595578

Publisher: Springer Verlag, Singapore

Publication Date: Oct 28th, 2020

Dimension: 23.50 x 15.50 x 45.40 cms

Category: Numerical analysis

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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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