The Fitted Finite Volume and Power Penalty Methods for Option Pricing:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
Springer Singapore Pte. Limited
2020
|
| Series: | SpringerBriefs in Applied Sciences and Technology Ser
|
| Subjects: | |
| Item Description: | Description based on publisher supplied metadata and other sources |
| Physical Description: | 1 Online-Ressource (99 Seiten) |
| ISBN: | 9789811595585 |
Staff View
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV048224324 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 220516s2020 |||| o||u| ||||||eng d | ||
| 020 | |a 9789811595585 |9 978-981-1595-58-5 | ||
| 035 | |a (ZDB-30-PQE)EBC6380831 | ||
| 035 | |a (ZDB-30-PAD)EBC6380831 | ||
| 035 | |a (ZDB-89-EBL)EBL6380831 | ||
| 035 | |a (OCoLC)1202438767 | ||
| 035 | |a (DE-599)BVBBV048224324 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 082 | 0 | |a 332.63228 | |
| 100 | 1 | |a Wang, Song |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The Fitted Finite Volume and Power Penalty Methods for Option Pricing |
| 264 | 1 | |a Singapore |b Springer Singapore Pte. Limited |c 2020 | |
| 264 | 4 | |c ©2020 | |
| 300 | |a 1 Online-Ressource (99 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a SpringerBriefs in Applied Sciences and Technology Ser | |
| 500 | |a Description based on publisher supplied metadata and other sources | ||
| 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 | ||
Record in the Search Index
| _version_ | 1804184006340640768 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Wang, Song |
| author_facet | Wang, Song |
| author_role | aut |
| author_sort | Wang, Song |
| author_variant | s w sw |
| 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 |
| ctrlnum | (ZDB-30-PQE)EBC6380831 (ZDB-30-PAD)EBC6380831 (ZDB-89-EBL)EBL6380831 (OCoLC)1202438767 (DE-599)BVBBV048224324 |
| dewey-full | 332.63228 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63228 |
| dewey-search | 332.63228 |
| dewey-sort | 3332.63228 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03205nmm a2200397zc 4500</leader><controlfield tag="001">BV048224324</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">220516s2020 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9789811595585</subfield><subfield code="9">978-981-1595-58-5</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-30-PQE)EBC6380831</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-30-PAD)EBC6380831</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-89-EBL)EBL6380831</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1202438767</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048224324</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63228</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Wang, Song</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">The Fitted Finite Volume and Power Penalty Methods for Option Pricing</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Singapore</subfield><subfield code="b">Springer Singapore Pte. Limited</subfield><subfield code="c">2020</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">©2020</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (99 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">SpringerBriefs in Applied Sciences and Technology Ser</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Description based on publisher supplied metadata and other sources</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance)-Prices-Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Engineering mathematics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematical optimization</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Wang, Song</subfield><subfield code="t">The Fitted Finite Volume and Power Penalty Methods for Option Pricing</subfield><subfield code="d">Singapore : Springer Singapore Pte. Limited,c2020</subfield><subfield code="z">9789811595578</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-30-PQE</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033605057</subfield></datafield></record></collection> |
| id | DE-604.BV048224324 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:50:39Z |
| indexdate | 2024-07-10T09:32:28Z |
| institution | BVB |
| isbn | 9789811595585 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033605057 |
| oclc_num | 1202438767 |
| open_access_boolean | |
| physical | 1 Online-Ressource (99 Seiten) |
| psigel | ZDB-30-PQE |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | Springer Singapore Pte. Limited |
| record_format | marc |
| series2 | SpringerBriefs in Applied Sciences and Technology Ser |
| 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 |