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The fitted finite volume and power p...

Wang, Song.

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The fitted finite volume and power penalty methods for option pricing

Record Type:	Electronic resources : Monograph/item
Title/Author:	The fitted finite volume and power penalty methods for option pricing/ by Song Wang.
Author:	Wang, Song.
Published:	Singapore :Springer Singapore : : 2020.,
Description:	viii, 94 p. :ill., digital ;24 cm.
[NT 15003449]:	1. 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.
Contained By:	Springer Nature eBook
Subject:	Options (Finance) - Prices -
Online resource:	https://doi.org/10.1007/978-981-15-9558-5
ISBN:	9789811595585

The fitted finite volume and power penalty methods for option pricing
Wang, Song.

The fitted finite volume and power penalty methods for option pricing[electronic resource] /by Song Wang. - Singapore :Springer Singapore :2020. - viii, 94 p. :ill., digital ;24 cm. - SpringerBriefs in applied sciences and technology. - SpringerBriefs in applied sciences and technology..

1. 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.

This 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.

ISBN: 9789811595585

Standard No.: 10.1007/978-981-15-9558-5doiSubjects--Topical Terms:

688603
Options (Finance)
--Prices

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.6453

The fitted finite volume and power penalty methods for option pricing
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245 1 4 $a The fitted finite volume and power penalty methods for option pricing $h [electronic resource] / $c by Song Wang.
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300 $a viii, 94 p. : $b ill., digital ; $c 24 cm.
490 1 $a SpringerBriefs in applied sciences and technology
505 0 $a 1. 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.
520 $a This 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.
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