ENGLISH

Mathematical Modeling and Methods of Option Pricing

By Lishang Jiang

Book information

Publisher
World Scientific Publishing Company
Year
2005
ISBN
9812563695, 9789812563699, 9789812703576
Open Library ID
OL9197267M
Language
english
Format
DJVU
Filesize
2 MB (1841930 bytes)
Pages
342\342
Library
Kolxo3
DPI
300
Scanned
yes
Time added
2010-07-29 05:14:56

Description

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black–Scholes–Merton’s option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

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