The Fitted Finite Volume And Power Penalty Methods For Option Pricing

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The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Author : Song Wang
Publisher : Springer Nature
ISBN 13 : 9811595585
Total Pages : 94 pages
Book Rating : 4.8/5 (115 download)

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Book Synopsis The Fitted Finite Volume and Power Penalty Methods for Option Pricing by : Song Wang

Download or read book The Fitted Finite Volume and Power Penalty Methods for Option Pricing written by Song Wang and published by Springer Nature. This book was released on 2020-10-27 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems. The theoretical and numerical results demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options. 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.

Finite Difference Methods,Theory and Applications

Author : Ivan Dimov
Publisher : Springer
ISBN 13 : 3319202391
Total Pages : 443 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Finite Difference Methods,Theory and Applications by : Ivan Dimov

Download or read book Finite Difference Methods,Theory and Applications written by Ivan Dimov and published by Springer. This book was released on 2015-06-16 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the thoroughly refereed post-conference proceedings of the 6th International Conference on Finite Difference Methods, FDM 2014, held in Lozenetz, Bulgaria, in June 2014. The 36 revised full papers were carefully reviewed and selected from 62 submissions. These papers together with 12 invited papers cover topics such as finite difference and combined finite difference methods as well as finite element methods and their various applications in physics, chemistry, biology and finance.

Numerical Analysis and Its Applications

Author : Ivan Dimov
Publisher : Springer
ISBN 13 : 3319570994
Total Pages : 798 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Numerical Analysis and Its Applications by : Ivan Dimov

Download or read book Numerical Analysis and Its Applications written by Ivan Dimov and published by Springer. This book was released on 2017-04-11 with total page 798 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes thoroughly revised selected papers of the 6th International Conference on Numerical Analysis and Its Applications, NAA 2016, held in Lozenetz, Bulgaria, in June 2016. The 90 revised papers presented were carefully reviewed and selected from 98 submissions. The conference offers a wide range of the following topics: Numerical Modeling; Numerical Stochastics; Numerical Approx-imation and Computational Geometry; Numerical Linear Algebra and Numer-ical Solution of Transcendental Equations; Numerical Methods for Differential Equations; High Performance Scientific Computing; and also special topics such as Novel methods in computational finance based on the FP7 Marie Curie Action,Project Multi-ITN STRIKE - Novel Methods in Compu-tational Finance, Grant Agreement Number 304617; Advanced numerical and applied studies of fractional differential equations.

Dissertation Abstracts International

Author :
Publisher :
ISBN 13 :
Total Pages : 960 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 960 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition

Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490106189
Total Pages : 772 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition by :

Download or read book Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Mathematical Analysis. The editors have built Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Mathematical Analysis in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Calculus, Mathematical Analysis, and Nonlinear Research: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

On a Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities

Author : 洪丞輝
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (742 download)

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Book Synopsis On a Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities by : 洪丞輝

Download or read book On a Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities written by 洪丞輝 and published by . This book was released on 2010 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Mathematical Modeling and Methods of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific
ISBN 13 : 9812563695
Total Pages : 344 pages
Book Rating : 4.8/5 (125 download)

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Book Synopsis Mathematical Modeling and Methods of Option Pricing by : Lishang Jiang

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces 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.

Mathematical Modeling And Methods Of Option Pricing

Author : Lishang Jiang
Publisher : World Scientific Publishing Company
ISBN 13 : 9813106557
Total Pages : 343 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Mathematical Modeling And Methods Of Option Pricing by : Lishang Jiang

Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Numerical Solutions of Financial Models : Finite Difference Methods and Finite Volume Methods in Option Pricing

Author : Ian Ward
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (863 download)

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Book Synopsis Numerical Solutions of Financial Models : Finite Difference Methods and Finite Volume Methods in Option Pricing by : Ian Ward

Download or read book Numerical Solutions of Financial Models : Finite Difference Methods and Finite Volume Methods in Option Pricing written by Ian Ward and published by . This book was released on 1994 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Numerical Methods for Fractional Black-Scholes Equations and Variational Inequalities Governing Option Pricing

Author : Wen Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (1 download)

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Book Synopsis Numerical Methods for Fractional Black-Scholes Equations and Variational Inequalities Governing Option Pricing by : Wen Chen

Download or read book Numerical Methods for Fractional Black-Scholes Equations and Variational Inequalities Governing Option Pricing written by Wen Chen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: [Truncated abstract] The aim of this thesis is to develop numerical methods for pricing options whose underlying follow a Levy process, establish convergence theories for these numerical methods and demonstrate the accuracy, effectiveness and practicality of the developed methods numerically. We first propose a second order finite difference method (FDM) for the one-dimensional fractional Black-Scholes (FBS) equation governing the valuation of European options on a single asset. We then show that both the continuous and discretized FBS equations are uniquely solvable and establish the convergence of the numerical solution generated by the FDM to the viscosity solution of the ontinuous FBS equation by proving that the FDM is consistent, stable and monotone. We then propose a power penalty method for a fractional-order dierential linear complementarity problem (LCP) arising in the valuation of American options on a single asset.

The Numerical Solution of the American Option Pricing Problem

Author : Carl Chiarella
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9789814452618
Total Pages : 212 pages
Book Rating : 4.4/5 (526 download)

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Book Synopsis The Numerical Solution of the American Option Pricing Problem by : Carl Chiarella

Download or read book The Numerical Solution of the American Option Pricing Problem written by Carl Chiarella and published by World Scientific Publishing Company Incorporated. This book was released on 2014 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The early exercise opportunity of an American option makes it challenging to price. The Numerical Solution of the American Option Pricing Problem focuses on three numerical methods that have proved useful for the numerical solution of the partial differential equations with free boundary problem arising in American option pricing, namely the method of lines, the sparse grid approach and the integral transform approach. It clearly explains and demonstrates the advantages and limitations of each of them using several examples.

American Option Pricing and Penalty Methods

Author : Kai Zhang
Publisher :
ISBN 13 : 9781109909159
Total Pages : 135 pages
Book Rating : 4.9/5 (91 download)

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Book Synopsis American Option Pricing and Penalty Methods by : Kai Zhang

Download or read book American Option Pricing and Penalty Methods written by Kai Zhang and published by . This book was released on 2006 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing American options with jump diffusion processes can be formulated as a partial integro-differential complementarity problem. We propose a power penalty approach for solving this complementarity problem. The convergence analysis of this method is established in some appropriate infinite dimensional spaces. Then, using the finite element method, we propose a numerical scheme to solve the penalized problem and carry out the numerical tests to illustrate the efficiency of our method.

Finite Difference Methods in Financial Engineering

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1118856481
Total Pages : 452 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Finite Difference Methods in Financial Engineering by : Daniel J. Duffy

Download or read book Finite Difference Methods in Financial Engineering written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Applied Mechanics Reviews

Author :
Publisher :
ISBN 13 :
Total Pages : 724 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Applied Mechanics Reviews by :

Download or read book Applied Mechanics Reviews written by and published by . This book was released on 1996 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Numerical Methods in Finance

Author : L. C. G. Rogers
Publisher : Cambridge University Press
ISBN 13 : 9780521573542
Total Pages : 348 pages
Book Rating : 4.5/5 (735 download)

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Book Synopsis Numerical Methods in Finance by : L. C. G. Rogers

Download or read book Numerical Methods in Finance written by L. C. G. Rogers and published by Cambridge University Press. This book was released on 1997-06-26 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Methods in Finance describes a wide variety of numerical methods used in financial analysis.

Numerical Algorithms

Author : Justin Solomon
Publisher : CRC Press
ISBN 13 : 1482251892
Total Pages : 400 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Numerical Algorithms by : Justin Solomon

Download or read book Numerical Algorithms written by Justin Solomon and published by CRC Press. This book was released on 2015-06-24 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Algorithms: Methods for Computer Vision, Machine Learning, and Graphics presents a new approach to numerical analysis for modern computer scientists. Using examples from a broad base of computational tasks, including data processing, computational photography, and animation, the textbook introduces numerical modeling and algorithmic desig

Discrete Choice Methods with Simulation

Author : Kenneth Train
Publisher : Cambridge University Press
ISBN 13 : 0521766559
Total Pages : 399 pages
Book Rating : 4.5/5 (217 download)

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Book Synopsis Discrete Choice Methods with Simulation by : Kenneth Train

Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.