Pde and martingale methods in option pricing
Auteur :
Pascucci, Andrea
Éditeur :
Springer Verlag
ISBN :
9788847017801
Date de publication :
28 déc. 2010
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Italie
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics.