{"product_id":"9789814452632","title":"Numerical Solution Of The American Option Pricing Problem, The: Finite Difference And Transform Approaches: Finite Difference and Transform Approaches","description":"\u003cp\u003eThe early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In \u003ci\u003eThe Numerical Solution of the American Option Pricing Problem\u003c\/i\u003e, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.\u003c\/p\u003e\u003cb\u003eContents:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntroduction\u003c\/li\u003e\n\u003cli\u003eThe Merton and Heston Model for a Call\u003c\/li\u003e\n\u003cli\u003eAmerican Call Options under Jump-Diffusion Processes\u003c\/li\u003e\n\u003cli\u003eAmerican Option Prices under Stochastic Volatility and Jump-Diffusion Dynamics — The Transform Approach\u003c\/li\u003e\n\u003cli\u003eRepresentation and Numerical Approximation of American Option Prices under Heston\u003c\/li\u003e\n\u003cli\u003eFourier Cosine Expansion Approach\u003c\/li\u003e\n\u003cli\u003eA Numerical Approach to Pricing American Call Options under SVJD\u003c\/li\u003e\n\u003cli\u003eConclusion\u003c\/li\u003e\n\u003cli\u003eBibliography\u003c\/li\u003e\n\u003cli\u003eIndex\u003c\/li\u003e\n\u003cli\u003eAbout the Authors\u003c\/li\u003e\n\u003c\/ul\u003e\u003cbr\u003e\u003cb\u003eReadership:\u003c\/b\u003e Post-graduates\/ Researchers in finance and applied mathematics with interest in numerical methods for American option pricing; mathematicians\/physicists doing applied research in option pricing\u003cbr\u003e\u003cb\u003eKey Features:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eComplete discussion of different numerical methods for American options\u003c\/li\u003e\n\u003cli\u003eAble to handle stochastic volatility and\/or jump diffusion dynamics\u003c\/li\u003e\n\u003cli\u003eAble to produce hedge ratios efficiently and accurately\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"World Scientific Publishing Company, Incorporated","offers":[{"title":"Default Title","offer_id":47185351737584,"sku":"9789814452632","price":39.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9789814452632_p0.jpg?v=1763691040","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9789814452632","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}