Computational Methods for Option Pricing
Jan 2005 · Frontiers in Applied Mathematics Book 30 · SIAM
Ebook
315
Pages
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Eligible
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About this ebook
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.
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