Computational Methods for Option Pricing

Yves Achdou · Olivier Pironneau

ม.ค. 2005 · Frontiers in Applied Mathematics หนังสือเล่มที่ 30 · SIAM

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The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.