Computing Financial Derivatives: A Finite-Difference Approach

By Sweta Rout-Hoolash

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

• Format: Hardcover
• Language: English
• ISBN: 1420082647
• ISBN13: 9781420082647
• Release Date: December 2030
• Publisher: CRC Press
• Length: 268 Pages
• Dimensions: 6.1" x 9.2"