Computational Methods for Option Pricing
Download or Read eBook Computational Methods for Option Pricing PDF written by Yves Achdou and published by SIAM. This book was released on 2005-01-01 with total page 315 pages. Available in PDF, EPUB and Kindle.
Author | : Yves Achdou |
Publisher | : SIAM |
Total Pages | : 315 |
Release | : 2005-01-01 |
ISBN-10 | : 0898717493 |
ISBN-13 | : 9780898717495 |
Rating | : 4/5 (93 Downloads) |
Book Synopsis Computational Methods for Option Pricing by : Yves Achdou
Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.