Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)
Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)
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DOI：
10.1137/1.9780898717495
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发表时间：
2005-07
影响因子：
1
通讯作者：
Y. Achdou;O. Pironneau
中科院分区：
文献类型：
--
作者：
Y. Achdou;O. Pironneau
序言1.期权定价2.布莱克-斯科尔斯方程数学分析3.有限差分4.有限元方法5.自适应网格细化6.美国选择7灵敏度和校准8.用欧式期权校准当地波动率9.美国期权文献索引对局部波动率的校准。
Preface 1. Option pricing 2. Black-Scholes equation mathematical analysis 3. Finite differences 4. The finite element method 5. Adaptive mesh refinement 6. American options 7. Sensitivities and calibration 8. Calibration of local volatility with European options 9. Calibration of local volatility with American options Bibliography Index.