The time-discrete method of lines for options and bonds: a PDE approach
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
[2015]
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| Schlagworte: | |
| Online-Zugang: | FLA01 |
| Beschreibung: | Print version record |
| Beschreibung: | 1 online resource |
| ISBN: | 9789814619684 981461968X |
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| 100 | 1 | |a Meyer, Gunter H. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The time-discrete method of lines for options and bonds |b a PDE approach |c Gunter H. Meyer, Georgia Institute of Technology, USA. |
| 264 | 1 | |a New Jersey |b World Scientific |c [2015] | |
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| 505 | 8 | |a Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 7 | |a Bonds / Mathematical models |2 fast | |
| 650 | 7 | |a Derivative securities / Mathematical models |2 fast | |
| 650 | 7 | |a Differential equations, Partial |2 fast | |
| 650 | 7 | |a Discrete-time systems |2 fast | |
| 650 | 7 | |a Options (Finance) / Mathematical models |2 fast | |
| 650 | 4 | |a Derivative securities |x Mathematical models |a Options (Finance) |x Mathematical models |a Bonds |x Mathematical models |a Discrete-time systems |a Differential equations, Partial | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Meyer, Gunter H. |t Time-discrete method of lines for options and bonds |z 9789814619677 |
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Datensatz im Suchindex
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| author | Meyer, Gunter H. |
| author_facet | Meyer, Gunter H. |
| author_role | aut |
| author_sort | Meyer, Gunter H. |
| author_variant | g h m gh ghm |
| building | Verbundindex |
| bvnumber | BV045358054 |
| collection | ZDB-4-EBU |
| contents | Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods |
| ctrlnum | (ZDB-4-EBU)ocn900633244 (OCoLC)900633244 (DE-599)BVBBV045358054 |
| dewey-full | 332.64/5701183 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5701183 |
| dewey-search | 332.64/5701183 |
| dewey-sort | 3332.64 75701183 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV045358054 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:15:54Z |
| institution | BVB |
| isbn | 9789814619684 981461968X |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030744646 |
| oclc_num | 900633244 |
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| publishDate | 2015 |
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| publisher | World Scientific |
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| spelling | Meyer, Gunter H. Verfasser aut The time-discrete method of lines for options and bonds a PDE approach Gunter H. Meyer, Georgia Institute of Technology, USA. New Jersey World Scientific [2015] 1 online resource txt rdacontent c rdamedia cr rdacarrier Print version record Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods BUSINESS & ECONOMICS / Finance bisacsh Bonds / Mathematical models fast Derivative securities / Mathematical models fast Differential equations, Partial fast Discrete-time systems fast Options (Finance) / Mathematical models fast Derivative securities Mathematical models Options (Finance) Mathematical models Bonds Mathematical models Discrete-time systems Differential equations, Partial Erscheint auch als Druck-Ausgabe Meyer, Gunter H. Time-discrete method of lines for options and bonds 9789814619677 |
| spellingShingle | Meyer, Gunter H. The time-discrete method of lines for options and bonds a PDE approach Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods BUSINESS & ECONOMICS / Finance bisacsh Bonds / Mathematical models fast Derivative securities / Mathematical models fast Differential equations, Partial fast Discrete-time systems fast Options (Finance) / Mathematical models fast Derivative securities Mathematical models Options (Finance) Mathematical models Bonds Mathematical models Discrete-time systems Differential equations, Partial |
| title | The time-discrete method of lines for options and bonds a PDE approach |
| title_auth | The time-discrete method of lines for options and bonds a PDE approach |
| title_exact_search | The time-discrete method of lines for options and bonds a PDE approach |
| title_full | The time-discrete method of lines for options and bonds a PDE approach Gunter H. Meyer, Georgia Institute of Technology, USA. |
| title_fullStr | The time-discrete method of lines for options and bonds a PDE approach Gunter H. Meyer, Georgia Institute of Technology, USA. |
| title_full_unstemmed | The time-discrete method of lines for options and bonds a PDE approach Gunter H. Meyer, Georgia Institute of Technology, USA. |
| title_short | The time-discrete method of lines for options and bonds |
| title_sort | the time discrete method of lines for options and bonds a pde approach |
| title_sub | a PDE approach |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Bonds / Mathematical models fast Derivative securities / Mathematical models fast Differential equations, Partial fast Discrete-time systems fast Options (Finance) / Mathematical models fast Derivative securities Mathematical models Options (Finance) Mathematical models Bonds Mathematical models Discrete-time systems Differential equations, Partial |
| topic_facet | BUSINESS & ECONOMICS / Finance Bonds / Mathematical models Derivative securities / Mathematical models Differential equations, Partial Discrete-time systems Options (Finance) / Mathematical models Derivative securities Mathematical models Options (Finance) Mathematical models Bonds Mathematical models Discrete-time systems Differential equations, Partial |
| work_keys_str_mv | AT meyergunterh thetimediscretemethodoflinesforoptionsandbondsapdeapproach |