TRA CỨU
thông tin biểu ghi
ISBN 9789814619677
DDC 332.632
Tác giả CN Meyer, Gunter H.
Nhan đề The time-discrete method of lines for options and bonds : a PDE approach / Gunter H. Meyer
Thông tin xuất bản New Jersey : World Scientific, 2015
Mô tả vật lý xv, 269 pages. : illustrations ; 25 cm.
Phụ chú Includes index.
Tóm tắt Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods
Từ khóa tự do Partial Differential Equations (PDEs)
Từ khóa tự do Bond pricing
Từ khóa tự do Mathematical models in finance
Từ khóa tự do Method of lines
Từ khóa tự do Options pricing
Từ khóa tự do Discretization of time technique
Từ khóa tự do Numerical method
Từ khóa tự do Quantitative Finance
Khoa Khoa Tài chính - Kế toán
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041 |aeng
044 |anju
082 |a332.632|bM6121|223
100 |aMeyer, Gunter H.
245 |aThe time-discrete method of lines for options and bonds : |ba PDE approach / |cGunter H. Meyer
260 |aNew Jersey : |bWorld Scientific, |c2015
300 |axv, 269 pages. : |billustrations ; |c25 cm.
500 |aIncludes index.
520 |aFew financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H. Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods
541 |aTặng
653 |aPartial Differential Equations (PDEs)
653 |aBond pricing
653 |aMathematical models in finance
653 |aMethod of lines
653 |aOptions pricing
653|aDiscretization of time technique
653|aNumerical method
653|aQuantitative Finance
690 |aKhoa Tài chính - Kế toán
852|a300|bQ12_Kho Mượn_02|j(3): 100613-5
8561|uhttp://elib.ntt.edu.vn/documentdata01/2 tailieuthamkhao/300 khoahocxahoi/biasach_2025/57641_the time-discretethumbimage.jpg
890|a3|b0|c0|d0
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