The Fitted Finite Volume and Power Penalty Methods for Option Pricing:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
Springer Singapore Pte. Limited
2020
|
| Schriftenreihe: | SpringerBriefs in Applied Sciences and Technology Ser
|
| Schlagworte: | |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (99 Seiten) |
| ISBN: | 9789811595585 |
Internformat
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| 100 | 1 | |a Wang, Song |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
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| 505 | 8 | |a Intro -- Preface -- Contents -- 1 European Options on One Asset -- 1.1 Stock Price Dynamics and Itô Lemma -- 1.2 The Black-Scholes Equation and Its Solvability -- 1.2.1 The Black-Scholes Equation -- 1.2.2 The Strong Problem -- 1.2.3 The Variational Problem and Its Solvability -- 1.3 The Fitted Finite Volume Method (FVM) -- 1.3.1 The Formulation of the FVM -- 1.3.2 Time Discretization -- 1.3.3 Stability and Convergence -- 1.4 Numerical Experiments -- References -- 2 American Options on One Asset -- 2.1 The Differential LCP and Its Solvability -- 2.1.1 The Differential LCP -- 2.1.2 The Variational Inequality -- 2.2 The Penalty Method and Its Convergence Analysis -- 2.2.1 The Power Penalty Equation and Its Solvability -- 2.2.2 Convergence Analysis -- 2.3 Numerical Solution of the Penalty Equation -- 2.3.1 Discretization -- 2.3.2 Solution of the Nonlinear System -- 2.4 Numerical Experiments -- References -- 3 Options on One Asset with Stochastic Volatility -- 3.1 The 2-Dimensional PDE Model for Pricing European Options ... -- 3.1.1 The Pricing Problem -- 3.1.2 The Variational Problem and Its Solvability -- 3.2 The Fitted FVM for (3.1.9)-(3.1.11) -- 3.3 Convergence of the FVM -- 3.3.1 Reformulation of the FVM -- 3.3.2 Stability and Convergence -- 3.4 Power Penalty Method for Pricing American Options with Stochastic Volatility -- 3.4.1 The Linear Complementarity Problem -- 3.4.2 The Penalty Method and Convergence -- 3.5 A Numerical Example -- References -- 4 Options on One Asset Revisited -- 4.1 The Unsymmetric Finite Volume Method -- 4.2 Determination of Superconvergent Points -- 4.3 Superconvergent Points When b Is Independent of S -- 4.4 Local Error Estimates at the Superconvergent Points -- 4.5 Numerical Experiments -- References | |
| 650 | 4 | |a Options (Finance)-Prices-Mathematical models | |
| 650 | 4 | |a Engineering mathematics | |
| 650 | 4 | |a Mathematical optimization | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Wang, Song |t The Fitted Finite Volume and Power Penalty Methods for Option Pricing |d Singapore : Springer Singapore Pte. Limited,c2020 |z 9789811595578 |
| 912 | |a ZDB-30-PQE | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033605057 | ||
Datensatz im Suchindex
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| building | Verbundindex |
| bvnumber | BV048224324 |
| collection | ZDB-30-PQE |
| contents | Intro -- Preface -- Contents -- 1 European Options on One Asset -- 1.1 Stock Price Dynamics and Itô Lemma -- 1.2 The Black-Scholes Equation and Its Solvability -- 1.2.1 The Black-Scholes Equation -- 1.2.2 The Strong Problem -- 1.2.3 The Variational Problem and Its Solvability -- 1.3 The Fitted Finite Volume Method (FVM) -- 1.3.1 The Formulation of the FVM -- 1.3.2 Time Discretization -- 1.3.3 Stability and Convergence -- 1.4 Numerical Experiments -- References -- 2 American Options on One Asset -- 2.1 The Differential LCP and Its Solvability -- 2.1.1 The Differential LCP -- 2.1.2 The Variational Inequality -- 2.2 The Penalty Method and Its Convergence Analysis -- 2.2.1 The Power Penalty Equation and Its Solvability -- 2.2.2 Convergence Analysis -- 2.3 Numerical Solution of the Penalty Equation -- 2.3.1 Discretization -- 2.3.2 Solution of the Nonlinear System -- 2.4 Numerical Experiments -- References -- 3 Options on One Asset with Stochastic Volatility -- 3.1 The 2-Dimensional PDE Model for Pricing European Options ... -- 3.1.1 The Pricing Problem -- 3.1.2 The Variational Problem and Its Solvability -- 3.2 The Fitted FVM for (3.1.9)-(3.1.11) -- 3.3 Convergence of the FVM -- 3.3.1 Reformulation of the FVM -- 3.3.2 Stability and Convergence -- 3.4 Power Penalty Method for Pricing American Options with Stochastic Volatility -- 3.4.1 The Linear Complementarity Problem -- 3.4.2 The Penalty Method and Convergence -- 3.5 A Numerical Example -- References -- 4 Options on One Asset Revisited -- 4.1 The Unsymmetric Finite Volume Method -- 4.2 Determination of Superconvergent Points -- 4.3 Superconvergent Points When b Is Independent of S -- 4.4 Local Error Estimates at the Superconvergent Points -- 4.5 Numerical Experiments -- References |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63228 |
| dewey-search | 332.63228 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| format | Electronic eBook |
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| index_date | 2024-07-03T19:50:39Z |
| indexdate | 2024-07-10T09:32:28Z |
| institution | BVB |
| isbn | 9789811595585 |
| language | English |
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| spelling | Wang, Song Verfasser aut The Fitted Finite Volume and Power Penalty Methods for Option Pricing Singapore Springer Singapore Pte. Limited 2020 ©2020 1 Online-Ressource (99 Seiten) txt rdacontent c rdamedia cr rdacarrier SpringerBriefs in Applied Sciences and Technology Ser Description based on publisher supplied metadata and other sources Intro -- Preface -- Contents -- 1 European Options on One Asset -- 1.1 Stock Price Dynamics and Itô Lemma -- 1.2 The Black-Scholes Equation and Its Solvability -- 1.2.1 The Black-Scholes Equation -- 1.2.2 The Strong Problem -- 1.2.3 The Variational Problem and Its Solvability -- 1.3 The Fitted Finite Volume Method (FVM) -- 1.3.1 The Formulation of the FVM -- 1.3.2 Time Discretization -- 1.3.3 Stability and Convergence -- 1.4 Numerical Experiments -- References -- 2 American Options on One Asset -- 2.1 The Differential LCP and Its Solvability -- 2.1.1 The Differential LCP -- 2.1.2 The Variational Inequality -- 2.2 The Penalty Method and Its Convergence Analysis -- 2.2.1 The Power Penalty Equation and Its Solvability -- 2.2.2 Convergence Analysis -- 2.3 Numerical Solution of the Penalty Equation -- 2.3.1 Discretization -- 2.3.2 Solution of the Nonlinear System -- 2.4 Numerical Experiments -- References -- 3 Options on One Asset with Stochastic Volatility -- 3.1 The 2-Dimensional PDE Model for Pricing European Options ... -- 3.1.1 The Pricing Problem -- 3.1.2 The Variational Problem and Its Solvability -- 3.2 The Fitted FVM for (3.1.9)-(3.1.11) -- 3.3 Convergence of the FVM -- 3.3.1 Reformulation of the FVM -- 3.3.2 Stability and Convergence -- 3.4 Power Penalty Method for Pricing American Options with Stochastic Volatility -- 3.4.1 The Linear Complementarity Problem -- 3.4.2 The Penalty Method and Convergence -- 3.5 A Numerical Example -- References -- 4 Options on One Asset Revisited -- 4.1 The Unsymmetric Finite Volume Method -- 4.2 Determination of Superconvergent Points -- 4.3 Superconvergent Points When b Is Independent of S -- 4.4 Local Error Estimates at the Superconvergent Points -- 4.5 Numerical Experiments -- References Options (Finance)-Prices-Mathematical models Engineering mathematics Mathematical optimization Erscheint auch als Druck-Ausgabe Wang, Song The Fitted Finite Volume and Power Penalty Methods for Option Pricing Singapore : Springer Singapore Pte. Limited,c2020 9789811595578 |
| spellingShingle | Wang, Song The Fitted Finite Volume and Power Penalty Methods for Option Pricing Intro -- Preface -- Contents -- 1 European Options on One Asset -- 1.1 Stock Price Dynamics and Itô Lemma -- 1.2 The Black-Scholes Equation and Its Solvability -- 1.2.1 The Black-Scholes Equation -- 1.2.2 The Strong Problem -- 1.2.3 The Variational Problem and Its Solvability -- 1.3 The Fitted Finite Volume Method (FVM) -- 1.3.1 The Formulation of the FVM -- 1.3.2 Time Discretization -- 1.3.3 Stability and Convergence -- 1.4 Numerical Experiments -- References -- 2 American Options on One Asset -- 2.1 The Differential LCP and Its Solvability -- 2.1.1 The Differential LCP -- 2.1.2 The Variational Inequality -- 2.2 The Penalty Method and Its Convergence Analysis -- 2.2.1 The Power Penalty Equation and Its Solvability -- 2.2.2 Convergence Analysis -- 2.3 Numerical Solution of the Penalty Equation -- 2.3.1 Discretization -- 2.3.2 Solution of the Nonlinear System -- 2.4 Numerical Experiments -- References -- 3 Options on One Asset with Stochastic Volatility -- 3.1 The 2-Dimensional PDE Model for Pricing European Options ... -- 3.1.1 The Pricing Problem -- 3.1.2 The Variational Problem and Its Solvability -- 3.2 The Fitted FVM for (3.1.9)-(3.1.11) -- 3.3 Convergence of the FVM -- 3.3.1 Reformulation of the FVM -- 3.3.2 Stability and Convergence -- 3.4 Power Penalty Method for Pricing American Options with Stochastic Volatility -- 3.4.1 The Linear Complementarity Problem -- 3.4.2 The Penalty Method and Convergence -- 3.5 A Numerical Example -- References -- 4 Options on One Asset Revisited -- 4.1 The Unsymmetric Finite Volume Method -- 4.2 Determination of Superconvergent Points -- 4.3 Superconvergent Points When b Is Independent of S -- 4.4 Local Error Estimates at the Superconvergent Points -- 4.5 Numerical Experiments -- References Options (Finance)-Prices-Mathematical models Engineering mathematics Mathematical optimization |
| title | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_auth | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_exact_search | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_exact_search_txtP | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_full | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_fullStr | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_full_unstemmed | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_short | The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| title_sort | the fitted finite volume and power penalty methods for option pricing |
| topic | Options (Finance)-Prices-Mathematical models Engineering mathematics Mathematical optimization |
| topic_facet | Options (Finance)-Prices-Mathematical models Engineering mathematics Mathematical optimization |
| work_keys_str_mv | AT wangsong thefittedfinitevolumeandpowerpenaltymethodsforoptionpricing |