Andere Kunden interessierten sich auch für
![On Some Numerical Methods for Options Valuation]( "On Some Numerical Methods for Options Valuation")
On Some Numerical Methods for Options Valuation44,99 €![Methods for Pricing and Hedging Plain Vanilla Barrier Options]( "Methods for Pricing and Hedging Plain Vanilla Barrier Options")
Methods for Pricing and Hedging Plain Vanilla Barrier Options36,99 €![Supply chain inventory modelling for different payment options]( "Supply chain inventory modelling for different payment options")
Supply chain inventory modelling for different payment options53,99 €![Variable Annuities and Embedded Options]( "Variable Annuities and Embedded Options")
Variable Annuities and Embedded Options38,99 €![Real Options Valuation]( "Real Options Valuation")
Real Options Valuation74,99 €![Valuation of the Liability Structure by Real Options]( "Valuation of the Liability Structure by Real Options")
Valuation of the Liability Structure by Real Options170,99 €![Aspects of Mathematical Finance]( "Aspects of Mathematical Finance")
Aspects of Mathematical Finance33,99 €
In this book we discuss various numerical evaluation problems for American options. Base on Black-Scholes framework, we establish partial differential complementarity problems (PDCP) for American options. Then we introduced various finite difference schemes to discretize the PDCP to obtain a system of Linear Complementarity Problems. The solution analysis and numerical algorithms are discussed. Next we study the pricing problem for American options whose payoff function are determined by two or more underlying assets. We formulate the two-asset American option pricing problem as two-dimensional PDCP. We first perform some state variable transformation and then introduce the ADI scheme and LOD scheme. After this, we discuss American option on an underlying asset with stochastic volatility. At last we consider the implied volatility problem for American options. We formulate a mathematical program with complementarity constraints (MPCC). Then we applied a penalty approach to solve the MPCC by utilizing the existing NLP tools. The parameter estimation problem for a mean-reverting stochastic volatility process is also considered.