Mathematical Modeling And Methods Of Option Pricing
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A01=Lishang Jiang
American Options
Author_Lishang Jiang
Binomial Free Methods
Category=KCA
Category=KCF
Category=KCH
Category=KFFM
Category=KJQ
Category=PBW
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
European Options
Finite Difference Method
Free Boundary Problems
Implied Volatility
Inverse Problems
Multi-Asset Options
Option
Path-Dependent Options
Product details
- ISBN 9789812563699
- Publication Date: 20 Jul 2005
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
