Nonlinear option pricing
Auteur :
Guyon, Julien / Henry-Labordere, Pierre
Éditeur :
Taylor & Francis Ltd
ISBN :
9781032919393
Date de publication :
14 oct. 2024
Dimensions :
23,4 x 15,6 cm
Poids :
900 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
Written by two leaders in quantitative research, this book compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods, including novel techniques