Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches
Chiarella, Carl
Kang, Boda
Meyer, Gunter H
- 出版社：World Scientific Publishing Co Pte Ltd
- 出版年月：2014年 10月
- ISBN：9789814452618
- 装丁：HRD
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装丁について
- 言語：ENG
- 巻数・ページ数：224 p.
- DDC分類：332.6453
- 内容紹介：
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Focus on two numerical approaches - a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem, and the integral transform approach which includes Fourier or Fourier Cosine transforms.