NUMERICAL SOLUTION OF THE AMERICAN OPTION PRICING PROBLEM, THE: FINITE DIFFERENCE AND TRANSFORM APPROACHES

Chiarella, Carl; Kang, Boda; Meyer, Gunter H

ISBN 10: 9814452610 / ISBN 13: 9789814452618

Published by World Scientific Publishing Company, 2015

About this Item

2015.Hardcover.Very good condition.212 pages.Ships from Japan.Usually ships in 1-2 working days. .

Seller Inventory # 44087

Bibliographic Details

• Title: NUMERICAL SOLUTION OF THE AMERICAN OPTION PRICING PROBLEM, THE: FINITE DIFFERENCE AND TRANSFORM APPROACHES
• Publisher: World Scientific Publishing Company
• Publication Date: 2015
• Language: English
• ISBN 10: 9814452610
• ISBN 13: 9789814452618
• Binding: Hardcover
• Condition: Very Good
• Dust Jacket Condition: Very Good

About this title

Synopsis

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 pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.

From the Back Cover

The early exercise opportunity of an American option makes it challenging to price. The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. It clearly explains and demonstrates the advantages and limitations of each of them using several examples.