Name: Time-Discrete Method of Lines for Options and Bonds, The: A Pde Approach (en Inglés)
Price: 478856.00 COP
Availability: InStock
Author: Meyer, Gunter H.
ISBN: 9789814619677

portada Time-Discrete Method of Lines for Options and Bonds, The: A Pde Approach (en Inglés)

Formato

Libro Físico

Autor

Gunter H. Meyer

Editorial

World Scientific Publishing Company

Idioma

Inglés

N° páginas

288

Encuadernación

Tapa Dura

Dimensiones

22.9 x 15.2 x 1.8 cm

Peso

0.55 kg.

ISBN13

9789814619677

Categorías

Finanzas
Matemáticas y sistemas empresariales

Time-Discrete Method of Lines for Options and Bonds, The: A Pde Approach (en Inglés)

Gunter H. Meyer (Autor) · World Scientific Publishing Company · Tapa Dura

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Reseña del libro "Time-Discrete Method of Lines for Options and Bonds, The: A Pde Approach (en Inglés)"

Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.