Mathematical Modeling And Methods Of Option Pricing

Lishang Jiang (Autor)

Buch | Hardcover

344 Seiten

2005
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-256-369-9 (ISBN)

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From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

# Risk Management and Financial Derivatives # Arbitrage-Free Principle # Binomial Tree Methods -- Discrete Models of Option Pricing # Brownian Motion and Ito Formula # European Option Pricing -- Black-Scholes Formula # American Option Pricing and Optimal Exercise Strategy # Multi-Asset Option Pricing # Path-Dependent Options (I) -- Weakly Path-Dependent Options # Path-Dependent Options (II) -- Strongly Path-Dependent Options # Implied Volatility

Erscheint lt. Verlag	20.7.2005
Verlagsort	Singapore
Sprache	englisch
Themenwelt	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	981-256-369-5 / 9812563695
ISBN-13	978-981-256-369-9 / 9789812563699
Zustand	Neuware