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The numerical solution of the American option pricing problem = finite difference and transform approaches /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	The numerical solution of the American option pricing problem/ Carl Chiarella, Boda Kang, Gunter H Meyer.
Reminder of title:	finite difference and transform approaches /
Author:	Chiarella, Carl.
other author:	Kang, Boda.
Published:	New Jersey :World Scientific Pub., : 2014.,
Description:	1 online resource.
Subject:	Options (Finance) - United States. -
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc
ISBN:	9789814452625

The numerical solution of the American option pricing problem = finite difference and transform approaches /
Chiarella, Carl.

The numerical solution of the American option pricing problemfinite difference and transform approaches /[electronic resource] :Carl Chiarella, Boda Kang, Gunter H Meyer. - New Jersey :World Scientific Pub.,2014. - 1 online resource.

Includes bibliographical references and index.

Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.

The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.

ISBN: 9789814452625Subjects--Topical Terms:

1061051
Options (Finance)
--United States.

LC Class. No.: HG6024.U6 / C443 2014eb

Dewey Class. No.: 332.64/23

The numerical solution of the American option pricing problem = finite difference and transform approaches /
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245 1 4 $a The numerical solution of the American option pricing problem $h [electronic resource] : $b finite difference and transform approaches / $c Carl Chiarella, Boda Kang, Gunter H Meyer.
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300 $a 1 online resource.
504 $a Includes bibliographical references and index.
505 0 $a Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.
520 $a The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.
588 0 $a Print version record.
650 0 $a Options (Finance) $z United States. $3 1061051
650 0 $a Options (Finance) $x Mathematical models. $3 596346
700 1 $a Kang, Boda. $3 720234
700 1 $a Meyer, Gunter H. $3 761241
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc