Nonlinear Option Pricing
Written by two leaders in quantitative research, this book compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods, including novel techniques
octobre 2024, env. 484 pages, Chapman and Hall/CRC Financial Mathematics Series, Anglais
Taylor and Francis
978-1-032-91939-3
Taylor and Francis
978-1-032-91939-3
Written by two leaders in quantitative research, this book compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods, including novel techniques
octobre 2024, env. 484 pages, Chapman and Hall/CRC Financial Mathematics Series, Anglais
Taylor and Francis
978-1-032-91939-3
Taylor and Francis
978-1-032-91939-3
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