American Option Valuation and Computation

Name: American Option Valuation and Computation
Brand: VDM Verlag Dr. Mueller E.K.
SKU: 9783639012149
Price: 68.66 EUR
Availability: InStock

A Comparative Study

Автор: Karl Rodolfo

Език:

Корици: С меки корици

Издател: VDM Verlag Dr. Mueller E.K.

Наличност: Външен склад

Изпращаме след 14-21 дни

68.66 € 134.28 лв

The pricing of American options has been one of the most popular research areas in quantitative fina...

Информация за книгата

Автор

Karl Rodolfo

Език

Английски език

Корици

Книга - С меки корици

Издадена

2008

страници

180

EAN

9783639012149

ISBN

3639012143

Enbook ID

06811248

Издател

VDM Verlag Dr. Mueller E.K.

Теглоt

249

Размери

152 x 229 x 10

Пълно описание

The pricing of American options has been one of the most popular research areas in quantitative finance. Finding solutions to the American option valuation problem is a difficult task compared to its European counterpart because of the added feature of early exercise. The American option valuation is commonly known as a free boundary value problem.§This book features the methodology of option pricing from the derivation of the standard European option formula and then explores the American option pricing techniques introduced by researchers and academics. The methods range from semi-analytical, approximation and numerical approaches all seeking to improve accuracy and efficiency.§A new type of numerical method is also introduced to price American options in this book. The critical exercise boundary which is a priori required to be solved for some of the valuation methods is efficiently approximated using cubic splines. The application of cubic splines reduces computational time without sacrificing accuracy. The results of this new method is compared against other pricing methods.

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American Option Valuation and Computation

A Comparative Study

Информация за книгата

Пълно описание

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Клиенти, които купиха тази книга, купиха също