Numerical Evaluation of American Options: Numerical Methods from a Mathematical Programming Perspective,Used

Numerical Evaluation of American Options: Numerical Methods from a Mathematical Programming Perspective,Used

In Stock
SKU: DADAX383830442X
UPC: 9783838304427
Brand: LAP Lambert Academic Publishing
Condition: New
$117.39
Free Standard Shipping Across USA
Quantity
Add to wishlist
Add to compare

Sold by Ergodebooks, an authorized reseller.

Returns accepted within 30 days | support@ergodebooks.com

Verified
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

All returns require a Return Authorization (RA) number before sending.

To initiate a return, contact us:

support@ergodebooks.com +1 (281) 738-1050
View Full Return & Refund Policy
Payment Option
Payment Methods

Help

If you have any questions, you are always welcome to contact us. We'll get back to you as soon as possible, withing 24 hours on weekdays.

Customer service

All questions about your order, return and delivery must be sent to our customer service team by e-mail at yourstore@yourdomain.com

Sale & Press

If you are interested in selling our products, need more information about our brand or wish to make a collaboration, please contact us at press@yourdomain.com

In this book we discuss various numerical evaluation problems for American options. Base on BlackScholes framework, we establish partial differential complementarity problems (PDCP) for American options. Then we introduced various finite difference schemes to discretize the PDCP to obtain a system of Linear Complementarity Problems. The solution analysis and numerical algorithms are discussed. Next we study the pricing problem for American options whose payoff function are determined by two or more underlying assets. We formulate the twoasset American option pricing problem as twodimensional PDCP. We first perform some state variable transformation and then introduce the ADI scheme and LOD scheme. After this, we discuss American option on an underlying asset with stochastic volatility. At last we consider the implied volatility problem for American options. We formulate a mathematical program with complementarity constraints (MPCC). Then we applied a penalty approach to solve the MPCC by utilizing the existing NLP tools. The parameter estimation problem for a meanreverting stochastic volatility process is also considered.

⚠️ 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.

Recently Viewed