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The numerical solution of the American option pricing problem : finite difference and transform approaches /

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Bibliographic Details
Main Authors: Chiarella, Carl
Group Author: Kang, Boda; Meyer, Gunter H
Published: World Scientific Pub.,
Publisher Address: New Jersey :
Publication Dates: [2015]
Literature type: Book
Language: English
Subjects:
Options Finance > United States
Options Finance > Mathematical models
Options Finance
United States
Carrier Form: ix, 212 pages : illustrations ; 24 cm
Bibliography: Includes bibliographical references (pages 201-206) and index.
ISBN: 9789814452618 :
9814452610
Index Number: HG6024
CLC: F837.125
Call Number: F837.125/C532-1
Contents: Introduction -- The Merton and Heston model for a call -- American call options under jump-diffusion processes -- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach -- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach -- A numerical approach to pricing American call options under SVJD -- Conclusions -- Bibliography -- Index.

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