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Pricing Financial Instruments: The Finite Difference Method · Study

BookPricing Financial Instruments: The Finite Difference Method

C. J. Randall2000

Book2000

Pricing Financial Instruments: The Finite Difference Method

C. J. Randall · Domingo Tavella

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Stochastic processes and financial applications Financial Markets and Investment Strategies Differential Equations and Numerical Methods

Abstract

The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.

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2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation 2004Robust numerical methods for contingent claims under jump diffusion processes 2006An exact and explicit solution for the valuation of American put options 2004A penalty method for American options with jump diffusion processes 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach 2004Option Pricing: Valuation Models and Applications

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Year2000

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Published2000-04-21

Languageen

Citations478

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ShelfStochastic processes and financial applications

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openalex_workW1974418079

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