Title The numerical solution of the American option pricing problem : finite difference and transform approaches / Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA).

Publication Info.

New Jersey : World Scientific Pub., 2014.

Online access
Online eBook. Access restricted to current Rider University students, faculty, and staff.
Instructions for reading/downloading this eBook

Item Status

Description	1 online resource
Physical Medium	polychrome
Description	text file
Bibliography	Includes bibliographical references and index.
Contents	Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.
Summary	The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr.
Local Note	eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America
Subject	Options (Finance) -- United States.
	Options (Finance)
	United States.
	Options (Finance) -- Mathematical models.
	Options (Finance) -- Mathematical models.
Genre/Form	Electronic books.
Added Author	Kang, Boda.
	Meyer, Gunter H.
Other Form:	Print version: Chiarella, Carl. Numerical solution of the American option pricing problem 9789814452618 (DLC) 2014021380 (OCoLC)881591759
ISBN	9789814452625 (electronic book)
	9814452629 (electronic book)
	9789814452618
	9814452610

Title The numerical solution of the American option pricing problem : finite difference and transform approaches / Carl Chiarella (University of Technology, Sydney, Australia), Boda Kang (University of York, UK), Gunter H Meyer (Georgia Institute of Technology, USA).

Item Status

Library Links

Search Tools