Derivative securities and difference methods Zhu, You-lan

By: Zhu, You-lan
Contributor(s): Chern, I-Liang | Wu, Xiaonan
Material type: TextTextSeries: Sringer FinancePublisher: New York Springer 2004Description: xviii, 513 p. with 92 illustrationsISBN: 9780387208428Subject(s): Derivative securities | Difference equations | Business & Economics - FinanceDDC classification: 332.64 Summary: This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite difference methods. The book also discusses how to determine the coefficients in the partial differential equations.
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This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite difference methods. The book also discusses how to determine the coefficients in the partial differential equations.

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