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Analytical Green's Function Approximation and Option Pricing: The Dyson-Taylor commutator method - Softcover
Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas.
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About the Author:
Dr. Cheng obtained his BS degree in mathematics from Nankai University in 2007, and received his PhD from the Pennsylvania State University in 2011. His research interest includes Financial Mathematics (derivative pricing, financial econometrics), Partial Differential Equations, Numerical Analysis, etc.
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- PublisherLAP LAMBERT Academic Publishing
- Publication date2011
- ISBN 10 3846531960
- ISBN 13 9783846531969
- BindingPaperback
- Number of pages180
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Analytical Green's Function Approximation and Option Pricing
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Analytical Green's Function Approximation and Option Pricing: The Dyson-Taylor commutator method
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Analytical Green's Function Approximation and Option Pricing
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Analytical Green's Function Approximation and Option Pricing
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Book Description Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas. 180 pp. Englisch. Seller Inventory # 9783846531969
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Analytical Green's Function Approximation and Option Pricing : The Dyson-Taylor commutator method
Published by
LAP LAMBERT Academic Publishing
(2011)
ISBN 10: 3846531960
ISBN 13: 9783846531969
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Book Description Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas. Seller Inventory # 9783846531969
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Analytical Green's Function Approximation and Option Pricing The DysonTaylor commutator method
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Analytical Green s Function Approximation and Option Pricing
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Book Description Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Cheng WenDr. Cheng obtained his BS degree in mathematics from Nankai University in 2007, and received his PhD from the Pennsylvania State University in 2011. His research interest includes Financial Mathematics (derivative pricing, f. Seller Inventory # 5497128
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Analytical Green's Function Approximation and Option Pricing The DysonTaylor commutator method
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LAP LAMBERT Academic Publishing
(2011)
ISBN 10: 3846531960
ISBN 13: 9783846531969
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Book Description PAP. Condition: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Seller Inventory # L0-9783846531969
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