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Numerical methods in finance

Numerical methods in finance

Paperback

General Mathematics

ISBN10: 3639495721
ISBN13: 9783639495720
Publisher: Blues Kids Of Amer
Published: Dec 12 2013
Pages: 140
Weight: 0.47
Height: 0.33 Width: 6.00 Depth: 9.00
Language: English
In this book one- and two-dimensional option prices are computed with the help of two different techniques: one using randomness, the Monte Carlo method and the other based on solving PDEs with finite difference methods. The use of the computer is in this case fundamental, because an important computing power is needed for both methods. The two techniques are implemented with MATLAB and applied to different kinds of options.

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General Mathematics