Pricing derivative securities - Epps, T. W. (World Scientific, 2000)
Includes bibliographical references (p. 661-675) and index
I. - Preliminaries - 1 - Introduction and Overview - 2 - Mathematical Preparation - 3 - Tools for Continuous-Time Models -- - II. - Pricing Theory - 4 - Dynamics-Free Pricing - 5 - Pricing Under Bernoulli Dynamics - 6 - Black-Scholes Dynamics - 7 - American Options and 'Exotics' - 8 - Models with Uncertain Volatility - 9 - Discontinuous Processes - 10 - Interest-Rate Dynamics -- - III. - Computational Methods - 11 - Simulation - 12 - Solving P.D.E.s Numerically - 13 - Programs