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The Fitted Finite Volume and Power Penalty Methods for Option Pricing
Paperback
ISBN13: 9789811595578
Publisher: Springer
Published: Oct 28 2020
Pages: 94
Weight: 0.35
Height: 0.22 Width: 6.14 Depth: 9.21
Language: English
This book contains mostly the author's up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These models do not have any practical use unless their solutions can be found. However, most of these models are far too complex to solve analytically and numerical approximations have to be sought in practice.
This book is appealing to researchers in financial engineering, optimal control and operations research. Financial engineers and practitioners will also find the book helpful in practice.
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