LEADER 03093oam 2200505 450 001 996418185503316 005 20210415140305.0 010 $a981-15-9558-5 024 7 $a10.1007/978-981-15-9558-5 035 $a(CKB)4100000011528517 035 $a(MiAaPQ)EBC6380831 035 $a(DE-He213)978-981-15-9558-5 035 $a(PPN)269146431 035 $a(EXLCZ)994100000011528517 100 $a20210415d2020 uy 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe fitted finite volume and power penalty methods for option pricing /$fSong Wang 205 $a1st ed. 2020. 210 1$aSingapore :$cSpringer,$d[2020] 210 4$d©2020 215 $a1 online resource (VIII, 94 p. 14 illus.) 225 1 $aSpringerBriefs in applied sciences and technology 311 $a981-15-9557-7 327 $a1. Introduction -- 2. European options on one asset -- 3. American options on one asset -- 4. Two-factor option models -- 5. The super-convergent finite volume method for pricing options. 330 $aThis book contains mostly the author?s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice. The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numerical results demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options. This book is appealing to researchers in financial engineering, optimal control and operations research. Financial engineers and practitioners will also find the book helpful in practice. 410 0$aSpringerBriefs in applied sciences and technology. 606 $aOptions (Finance)$xPrices$xMathematical models 606 $aEngineering mathematics 606 $aMathematical optimization 615 0$aOptions (Finance)$xPrices$xMathematical models. 615 0$aEngineering mathematics. 615 0$aMathematical optimization. 676 $a332.63228 700 $aWang$b Song$0974200 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bUtOrBLW 906 $aBOOK 912 $a996418185503316 996 $aFitted Finite Volume and Power Penalty Methods for Option Pricing$92909556 997 $aUNISA LEADER 00978nam0 22002291i 450 001 UON00207612 005 20231205103320.788 100 $a20030730d1954 |0itac50 ba 101 $afre 102 $aFR 105 $a|||| ||||| 200 1 $a De la Sainte - Alliance au Pacte Atlantique$ehistoire des relations internationales à l'époque contemporaine$fFernand L'Huillier 210 $aNeuchatel$cEditions de la Baconnière$d1954. 292 p. ; 22 cm. 620 $aCH$dNeuchâtel$3UONL000211 700 1$aL'HUILLIER$bFernand$3UONV124736$0485364 712 $aÉditions de la Baconnière$3UONV259294$4650 801 $aIT$bSOL$c20240220$gRICA 899 $aSIBA - SISTEMA BIBLIOTECARIO DI ATENEO$2UONSI 912 $aUON00207612 950 $aSIBA - SISTEMA BIBLIOTECARIO DI ATENEO$dSI IV POL A 0899 $eSI MR 44366 5 0899 996 $aDe la Sainte-Alliance au Pacte Atlantique$9633151 997 $aUNIOR