Mathematical modeling and methods of option pricing
Auteur :
Jiang, Lishang
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789812563699
Date de publication :
20 juil. 2005
Langue :
Anglais
Pays d'origine :
Singapour
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.