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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

af Song Wang

indgår i SpringerBriefs in Applied Sciences and Technology serien

indgår i SpringerBriefs in Mathematical Methods serien

The Fitted Finite Volume and Power Penalty Methods for Option Pricing af Song Wang
Bag om The Fitted Finite Volume and Power Penalty Methods for Option Pricing

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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  • Sprog:
  • Engelsk
  • ISBN:
  • 9789811595578
  • Indbinding:
  • Paperback
  • Sideantal:
  • 94
  • Udgivet:
  • 28. oktober 2020
  • Udgave:
  • 12020
  • Størrelse:
  • 155x235x0 mm.
  • Vægt:
  • 454 g.
  • 8-11 hverdage.
  • 7. december 2024
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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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