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
Resource Information
The item The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.This item is available to borrow from 1 library branch.
Resource Information
The item The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.
This item is available to borrow from 1 library branch.
- 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.--
- Language
- eng
- Extent
- xv, 267
- 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
- Isbn
- 9789814619677
- 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
- 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
- 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
- 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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/The-time-discrete-method-of-lines-for-options-and/bNoLgUgt2Fc/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/The-time-discrete-method-of-lines-for-options-and/bNoLgUgt2Fc/">The time-discrete method of lines for options and bonds : A PDE approach, Gunter H. Meyer</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute Library</a></span></span></span></span></div>
