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Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach (Hardcover)
Loot Price: R2,624
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Time-discrete Method Of Lines For Options And Bonds, The: A Pde Approach (Hardcover)
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Few financial mathematical books have discussed mathematically
acceptable boundary conditions for the degenerate diffusion
equations in finance. In The Time-Discrete Method of Lines for
Options and Bonds, Gunter H Meyer examines PDE models for financial
derivatives and shows where the Fichera theory requires the pricing
equation at degenerate boundary points, and what modifications of
it lead to acceptable tangential boundary conditions at
non-degenerate points on computational boundaries when no financial
data are available.Extensive numerical simulations are carried out
with the method of lines to examine the influence of the finite
computational domain and of the chosen boundary conditions on
option and bond prices in one and two dimensions, reflecting
multiple assets, stochastic volatility, jump diffusion and
uncertain parameters. Special emphasis is given to early exercise
boundaries, prices and their derivatives near expiration. Detailed
graphs and tables are included which may serve as benchmark data
for solutions found with competing numerical methods.
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