The Numerical Solution of the American Option Pricing Problem: Finite Difference

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The early exercise opportunity of an American option makes it challenging to price. The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. It clearly explains and demonstrates the advantages and limitations of each of them using several examples.

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Carl Chiarella, Boda Kang, Gunter H Meyer-The Numerical Solution of the American.pdf (1.94 MB, 需要: 15 个论坛币)

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The Numerical Solution of the American Option Pricing Problem: Finite Difference
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Hardcover: 450 pages
Publisher: World Scientific Publishing Company (August 31, 2014)
Language: English
ISBN-10: 9814452610
ISBN-13: 978-9814452618
http://www.amazon.com/Numerical-Solution-American-Pricing-Problem/dp/9814452610/ref=sr_1_1?ie=UTF8&qid=1413106497&sr=8-1&keywords=The+Numerical+Solution+of+the+American+Option+Pricing+Problem%3A+Finite+Difference+and+Transform+Approaches

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关键词：difference Numerical Solution American problem advantages exercise solution methods problem

Hardcover: 450 pages
Publisher: World Scientific Publishing Company (August 31, 2014)
Language: English
ISBN-10: 9814452610
ISBN-13: 978-9814452618

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The Numerical Solution of the American Option Pricing Problem: Finite Difference

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