From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.
- ISBN10 1420082655
- ISBN13 9781420082654
- Publish Date 15 February 2017
- Publish Status Active
- Publish Country GB
- Publisher Taylor & Francis Ltd
- Imprint Chapman & Hall/CRC
- Format eBook
- Pages 268
- Language English