The numerical solution of the American option pricing problem: finite difference and transform approaches
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
New Jersey
World Scientific Pub.
2014
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| Subjects: | |
| Online Access: | FAW01 FAW02 FLA01 |
| Item Description: | Print version record |
| Physical Description: | 1 online resource |
| ISBN: | 9789814452625 9814452629 9789814452618 9814452610 |
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| 100 | 1 | |a Chiarella, Carl |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The numerical solution of the American option pricing problem |b finite difference and transform approaches |c Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA) |
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| 505 | 8 | |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 | |
| 505 | 8 | |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 | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Options (Finance) / Mathematical models | |
| 650 | 4 | |a Options (Finance) / United States | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 7 | |a Options (Finance) |2 fast | |
| 650 | 7 | |a Options (Finance) / Mathematical models |2 fast | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Options (Finance) |z United States |a Options (Finance) |x Mathematical models | |
| 651 | 4 | |a USA | |
| 700 | 1 | |a Kang, Boda |e Sonstige |4 oth | |
| 700 | 1 | |a Meyer, Gunter H. |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Chiarella, Carl |t Numerical solution of the American option pricing problem |
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Record in the Search Index
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| author | Chiarella, Carl |
| author_facet | Chiarella, Carl |
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| contents | 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 |
| ctrlnum | (ZDB-4-EBA)ocn892911419 (OCoLC)892911419 (DE-599)BVBBV043958540 |
| dewey-full | 332.64/23 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/23 |
| dewey-search | 332.64/23 |
| dewey-sort | 3332.64 223 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| institution | BVB |
| isbn | 9789814452625 9814452629 9789814452618 9814452610 |
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| spelling | Chiarella, Carl Verfasser aut The numerical solution of the American option pricing problem finite difference and transform approaches Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA) New Jersey World Scientific Pub. 2014 1 online resource txt rdacontent c rdamedia cr rdacarrier Print version record 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 Investment analysis Options (Finance) / Mathematical models Options (Finance) / United States BUSINESS & ECONOMICS / Finance bisacsh Options (Finance) fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) United States Options (Finance) Mathematical models USA Kang, Boda Sonstige oth Meyer, Gunter H. Sonstige oth Erscheint auch als Druck-Ausgabe Chiarella, Carl Numerical solution of the American option pricing problem |
| spellingShingle | Chiarella, Carl The numerical solution of the American option pricing problem finite difference and transform approaches 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 Investment analysis Options (Finance) / Mathematical models Options (Finance) / United States BUSINESS & ECONOMICS / Finance bisacsh Options (Finance) fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) United States Options (Finance) Mathematical models |
| title | The numerical solution of the American option pricing problem finite difference and transform approaches |
| title_auth | The numerical solution of the American option pricing problem finite difference and transform approaches |
| title_exact_search | The numerical solution of the American option pricing problem finite difference and transform approaches |
| title_full | The numerical solution of the American option pricing problem finite difference and transform approaches Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA) |
| title_fullStr | The numerical solution of the American option pricing problem finite difference and transform approaches Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA) |
| title_full_unstemmed | The numerical solution of the American option pricing problem finite difference and transform approaches Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA) |
| title_short | The numerical solution of the American option pricing problem |
| title_sort | the numerical solution of the american option pricing problem finite difference and transform approaches |
| title_sub | finite difference and transform approaches |
| topic | Investment analysis Options (Finance) / Mathematical models Options (Finance) / United States BUSINESS & ECONOMICS / Finance bisacsh Options (Finance) fast Options (Finance) / Mathematical models fast Mathematisches Modell Wirtschaft Options (Finance) United States Options (Finance) Mathematical models |
| topic_facet | Investment analysis Options (Finance) / Mathematical models Options (Finance) / United States BUSINESS & ECONOMICS / Finance Options (Finance) Mathematisches Modell Wirtschaft Options (Finance) United States Options (Finance) Mathematical models USA |
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