Titlebook: Derivative Securities and Difference Methods; You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun Book 2013Latest edition Springer Science+Business Media

排斥

flammable

Book 2013Latest editionroducts with early exercise feature) linear complementarity and free boundary problems.In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance p

伴隨而來

https://doi.org/10.1007/978-3-642-78871-0tion will be smaller. This method can still be used for free-boundary problems. For them there is another problem. On one side of the free boundary, the price of an American-style derivative satisfies a partial differential equation, and on the other side, it is equal to a given function. Because of

大暴雨

牌帶來

摻假

European Style Derivativesch 30, 1999, to June 8, 2000. From these figures, we can see the following: the graphs are jagged, and the size of the jags changes all the time. This means that we cannot express . as a smooth function of ., and it is difficult to predict exactly the price at time . from the price before time .. It

知識分子

Bernstein-test

Initial-Boundary Value and LC Problemsequations. This chapter discusses numerical methods for such problems. If an American option problem is formulated as a linear complementarity problem, then the only difference between solving a European option and an American option is that if the solution obtained by the partial differential equat

不持續(xù)就爆

Free-Boundary Problemse written as a free-boundary problem. In Chap. 8, we have discussed how to solve a linear complementarity problem. Here, we study how to solve a free-boundary problem numerically. Many derivative security problems have a final condition with discontinuous derivatives at some point. In this case, the

使乳化