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Computational Methods for Option Pricing

Yves Achdou and Olivier Pironneau
Publisher: 
SIAM
Publication Date: 
2005
Number of Pages: 
297
Format: 
Paperback
Series: 
Frontiers in Applied Mathematics
Price: 
80.00
ISBN: 
0-89871-573-3
Category: 
Monograph
We do not plan to review this book.

 List of Algorithms; Preface; Chapter 1: Option Pricing; Chapter 2: Black–Scholes Equation. Mathematical Analysis; Chapter 3: Finite Differences; Chapter 4: The Finite Element Method; Chapter 5: Adaptive Mesh Refinement; Chapter 6: American Options; Chapter 7: Sensitivities and Calibration; Chapter 8: Calibration of Local Volatility with European Options; Chapter 9: Calibration of Local Volatility with American Options; Bibliography; Index.

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