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Gunter H Meyer Time-discrete Method Of Lines For Options And Bonds, T (Hardback)

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Item specifics

Condition
Brand new: A new, unread, unused book in perfect condition with no missing or damaged pages. See the ...
Book Title
Time-discrete Method Of Lines For Options And Bonds, The: A Pde A
Title
Time-discrete Method Of Lines For Options And Bonds, The: A Pde A
EAN
9789814619677
ISBN
9789814619677
Genre
Business & Finance
Release Date
27/02/2015
Release Year
2015
Country/Region of Manufacture
SG
Publication Year
2015
Type
Textbook
Format
Hardcover
Language
English
Publication Name
Time-Discrete Method of Lines for Options and Bonds, The: a Pde Approach
Author
Gunter H Meyer
Publisher
World Scientific Publishing Co Pte Ltd
Subject
Finance, Business
Number of Pages
288 Pages

About this product

Product Information

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.

Product Identifiers

Publisher
World Scientific Publishing Co Pte Ltd
ISBN-13
9789814619677
eBay Product ID (ePID)
208783600

Product Key Features

Author
Gunter H Meyer
Publication Name
Time-Discrete Method of Lines for Options and Bonds, The: a Pde Approach
Format
Hardcover
Language
English
Subject
Finance, Business
Publication Year
2015
Type
Textbook
Number of Pages
288 Pages

Additional Product Features

Title_Author
Gunter H Meyer
Country/Region of Manufacture
Singapore

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