The Numerical Solution of the American Option Pricing Problem
Format: Hardcover
ISBN13: 9789814452618
Hardcover|9789814452618
✨ Featured Offer
Brand New
$101.15
List Price: $98.00
🚚
See all 4 offers from $56.70 FREE standard delivery by: 04 Apr 2026
Overview
The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.
| ISBN-13 | 9789814452618 |
|---|---|
| ISBN-10 | 9814452610 |
| Weight | 1.03 Pounds |
| Dimensions | 6.00 x 0.56 x 9.00 In |
| List Price | $98.00 |
| Edition | 1st Edition |
| Format | Hardcover |
|---|---|
| Language | English |
| Pages | 220 pages |
| Publisher | World Scientific Publishing Company |
| Published On | 2014-09-02 |
View All Offers
Sort by:
Price
Condition
Seller
Seller Comments
Price
Used, Very Good
Seller details
Suffolk Books
center moriches, ny, USA
Fast Shipping-Safe and Secure 7 days a week!
Free delivery by: 04 Apr 2026
Used, Good
Seller details
Bonita
Santa Clarita, CA, USA
Access codes and supplements are not guaranteed with used items. May be an ex-library book.
Free delivery by: 04 Apr 2026
✨ Brand New
Seller details
Alibris
Sparks, NV, USA
Print on demand Sewn binding. Cloth over boards. 224 p.
Free delivery by: 04 Apr 2026
Used, Like New
Seller details
GreatBookPrices-
Columbia, MD, USA
100% Money Back Guarantee. Brand New, Perfect Condition. We offer expedited shipping to all US locat...
Free delivery by: 04 Apr 2026