Related Books
Language: en
Pages: 315
Pages: 315
Type: BOOK - Published: 2005-01-01 - Publisher: SIAM
The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accura
Language: en
Pages: 301
Pages: 301
Type: BOOK - Published: 2013-02-15 - Publisher: Springer Science & Business Media
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an int
Language: en
Pages: 30
Pages: 30
Type: BOOK - Published: 2011 - Publisher:
Abstract: This paper aims to practice the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates. Am
Language: en
Pages: 440
Pages: 440
Type: BOOK - Published: 2016-04-19 - Publisher: CRC Press
Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical meth
Language: en
Pages: 223
Pages: 223
Type: BOOK - Published: 2014-10-14 - Publisher: World Scientific
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