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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	The Fitted Finite Volume and Power Penalty Methods for Option Pricing/ by Song Wang.
作者:	Wang, Song.
面頁冊數:	VIII, 94 p. 14 illus.online resource. :
Contained By:	Springer Nature eBook
標題:	Optimization. -
電子資源:	https://doi.org/10.1007/978-981-15-9558-5
ISBN:	9789811595585

The Fitted Finite Volume and Power Penalty Methods for Option Pricing
Wang, Song.

The Fitted Finite Volume and Power Penalty Methods for Option Pricing[electronic resource] /by Song Wang. - 1st ed. 2020. - VIII, 94 p. 14 illus.online resource. - SpringerBriefs in Mathematical Methods,2365-0826. - SpringerBriefs in Mathematical Methods,.

1. Introduction -- 2. European options on one asset -- 3. American options on one asset -- 4. Two-factor option models -- 5. The super-convergent finite volume method for pricing options.

This book contains mostly the author’s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice. 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. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numerical results demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options. This book is appealing to researchers in financial engineering, optimal control and operations research. Financial engineers and practitioners will also find the book helpful in practice.

ISBN: 9789811595585

Standard No.: 10.1007/978-981-15-9558-5doiSubjects--Topical Terms:

669174
Optimization.

LC Class. No.: T57-57.97

Dewey Class. No.: 519

The Fitted Finite Volume and Power Penalty Methods for Option Pricing
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