Mathematical Modeling and Methods of Option Pricing

ISBN-13: 9789812563699 / Angielski / Twarda / 2005 / 344 str.

Lishang Jiang; Canguo Li

Opis

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 Pproblems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.