Nonlinear Option Pricing. [elektronicky zdroj]
| Autor: | Guyon, Julien |
|---|---|
| Další autoři: | |
| Jazyk: | angličtina |
| Informace o vydání: | Milton : CRC Press LLC, 2013. |
| Předmět: |
Options (Finance)--Prices--Mathematical models
Nonlinear pricing--Mathematical models Business mathematics Optionspreistheorie. gnd (DE-588)4135346-8 Nichtlineare partielle Differentialgleichung. gnd (DE-588)4128900-6 Stochastische Differentialgleichung. gnd (DE-588)4057621-8 Finanzmathematik. gnd (DE-588)4017195-4 Electronic books |
| Vydání: | 1st ed. |
| Druh dokumentu: | Online; Non-fiction; Electronic document |
| Abstrakt: | Summary: 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 for pricing options, calibrating models, and more. The book helps quants develop both their analytical and numerical expertise, building intuition through numerous real-world examples of numerical implementation. |
| Databáze: | Vybrané kolekce e-knih |
| Externí odkaz: |
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