Item description for Mathematical Modeling and Methods of Option Pricing by Lishang Jiang & Canguo Li...
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to 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. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
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Studio: World Scientific Publishing Company
Est. Packaging Dimensions: Length: 0.75" Width: 6" Height: 8.75" Weight: 1.35 lbs.
Release Date Jul 30, 2005
Publisher World Scientific Publishing Company
ISBN 9812563695 ISBN13 9789812563699