The numerical solution of the American option pricing problem :: finite difference and transform approaches /
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 a...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey :
World Scientific Pub.,
2014.
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9789814452625 9814452629 |
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| 505 | 0 | |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. | |
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| 520 | |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. | ||
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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. |
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| spelling | Chiarella, Carl. 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 text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references and index. 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. Print version record. 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. Options (Finance) United States. Options (Finance) Mathematical models. Options (Finances) États-Unis. Options (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Options (Finance) fast Options (Finance) Mathematical models fast United States fast https://id.oclc.org/worldcat/entity/E39PBJtxgQXMWqmjMjjwXRHgrq Kang, Boda. Meyer, Gunter H. has work: The numerical solution of the American option pricing problem (Text) https://id.oclc.org/worldcat/entity/E39PCG43RkqGFDV7vqW89DpCKm https://id.oclc.org/worldcat/ontology/hasWork Print version: Chiarella, Carl. Numerical solution of the American option pricing problem 9789814452618 (DLC) 2014021380 (OCoLC)881591759 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=862306 Volltext |
| 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. Options (Finance) United States. Options (Finance) Mathematical models. Options (Finances) États-Unis. Options (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Options (Finance) fast Options (Finance) Mathematical models fast |
| 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 | numerical solution of the american option pricing problem finite difference and transform approaches |
| title_sub | finite difference and transform approaches / |
| topic | Options (Finance) United States. Options (Finance) Mathematical models. Options (Finances) États-Unis. Options (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Options (Finance) fast Options (Finance) Mathematical models fast |
| topic_facet | Options (Finance) United States. Options (Finance) Mathematical models. Options (Finances) États-Unis. Options (Finances) Modèles mathématiques. BUSINESS & ECONOMICS Finance. Options (Finance) Options (Finance) Mathematical models United States |
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