Fitted finite volume and power penalty methods for option pricing, the
Auteur :
Wang, Song
Éditeur :
Springer Verlag, Singapore
ISBN :
9789811595578
Date de publication :
28 oct. 2020
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Singapour
The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms.