Title
Analytical Green's Function Approximation and Option Pricing: The DysonTaylor commutator method,Used
Sold by Ergodebooks, an authorized reseller.
Returns accepted within 30 days | support@ergodebooks.com
Shipping Information
- Free Standard Shipping — United States only
- Processing Time: 3–5 business days
- Estimated Delivery: 6–10 business days after dispatch
- Double-boxed, fully insured & discreetly packaged
- Tracking number sent via email once dispatched
Returns & Refund
Returns accepted within 30 days of delivery.
Damaged or Defective Item
Free return shipping + replacement or full refund
Wrong Item Received
Free return shipping + replacement or full refund
Change of Mind
Return shipping at customer's expense · 25% restocking fee applies
Payment Option
Closedform solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed DysonTaylor commutator method for autonomous equations to nonautonomous equations. Closedform approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.