| 紀錄類型: |
書目-電子資源
: 單行本
|
| 副題名: |
finite difference and transform approaches |
| 作者: |
ChiarellaCarl, |
| 合作者: |
KangBoda, |
| 合作者: |
MeyerGunter H., |
| 出版地: |
New Jersey |
| 出版者: |
World Scientific Pub.; |
| 出版年: |
2014 |
| 面頁冊數: |
1 online resource |
| 標題: |
Options (Finance) - United States - |
| 標題: |
Options (Finance) - Mathematical models - |
| 電子資源: |
http://www.worldscientific.com/worldscibooks/10.1142/8736#t=toc |
| 附註: |
Print version record |
| 摘要註: |
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: |
9789814452625electronic bk. |
| ISBN: |
9814452629electronic bk. |
| 內容註: |
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 |