國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

The numerical solution of the Americ...

Chiarella, Carl.

The numerical solution of the American option pricing problemfinite difference and transform approaches /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The numerical solution of the American option pricing problemCarl Chiarella, Boda Kang, Gunter H Meyer.
其他題名:	finite difference and transform approaches /
作者:	Chiarella, Carl.
其他作者:	Kang, Boda.
出版者:	New Jersey :World Scientific Pub.,2014.
面頁冊數:	1 online resource.
標題:	Options (Finance)United States.
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc
ISBN:	9789814452625$q(electronic bk.)

The numerical solution of the American option pricing problemfinite 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: 9789814452625$q(electronic bk.)Subjects--Topical Terms:

716991
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 problemfinite difference and transform approaches /
LDR:02095cmm a2200301Ka 4500 001 463716
003 OCoLC
005 20151106090731.0
006 m o d
007 cr cnu---unuuu
008 151126s2014 nju ob 001 0 eng d
020 $a 9789814452625$q(electronic bk.)
020 $a 9814452629$q(electronic bk.)
020 $z 9789814452618
020 $z 9814452610
035 $a (OCoLC)892911419 $z (OCoLC)893332782
035 $a ocn892911419
040 $a N $b eng $c N $d YDXCP $d CDX $d EBLCP $d OCLCO $d OCLCQ $d OCLCO
043 $a n-us---
050 4 $a HG6024.U6 $b C443 2014eb
082 0 4 $a 332.64/23 $2 23
100 1 $a Chiarella, Carl. $3 201583
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.
260 $a New Jersey : $b World Scientific Pub., $c 2014.
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 716991
650 0 $a Options (Finance) $x Mathematical models. $3 183333
700 1 $a Kang, Boda. $3 716990
700 1 $a Meyer, Gunter H. $3 243468
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc