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Nonlinear Option Pricing

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Written by two leaders in quantitative research, this book compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods, including novel techniques

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9781032919393
  • Indbinding:
  • Paperback
  • Sideantal:
  • 484
  • Udgivet:
  • 14. oktober 2024
  • Størrelse:
  • 156x234x0 mm.
  • Vægt:
  • 900 g.
  • 2-4 uger.
  • 19. december 2024
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Forlænget returret til d. 31. januar 2025

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Written by two leaders in quantitative research, this book compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods, including novel techniques

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