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The Resource The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer

The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer

Label
The time-discrete method of lines for options and bonds : A PDE approach
Title
The time-discrete method of lines for options and bonds
Title remainder
A PDE approach
Statement of responsibility
Gunter H. Meyer
Creator
Author
Subject
Language
eng
Summary
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In 'The Time-Discrete Method of Lines for Options and Bonds', Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available. Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Meyer, Gunter H
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Derivative securities
  • Options (Finance)
  • Bonds
  • Discrete-time systems
  • Differential equations, Partial
Label
The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 261-264) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Comments on the Pricing Equations in Finance -- 2. The Method of Lines (MOL) for the Diffusion Equation -- 3. The Riccati Transformation Method for Linear Two Point Boundary Value Problems -- 4. European Options -- 5. American Puts and Calls -- 6. Bonds and Options for One-Factor Interest Rate Models -- 7. Two-Dimensional Diffusion Problems in Finance
Control code
FIEb17702136
Dimensions
24 cm.
Extent
xv, 267
Isbn
9789814619677
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
  • 18371769
  • (OCoLC)895500602
Label
The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer
Publication
Bibliography note
Includes bibliographical references (pages 261-264) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Comments on the Pricing Equations in Finance -- 2. The Method of Lines (MOL) for the Diffusion Equation -- 3. The Riccati Transformation Method for Linear Two Point Boundary Value Problems -- 4. European Options -- 5. American Puts and Calls -- 6. Bonds and Options for One-Factor Interest Rate Models -- 7. Two-Dimensional Diffusion Problems in Finance
Control code
FIEb17702136
Dimensions
24 cm.
Extent
xv, 267
Isbn
9789814619677
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
  • 18371769
  • (OCoLC)895500602

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