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- Author: Sandro Calore
- Publisher: AV Akademikerverlag
- Year: 2013
- Pages: 140
- ISBN-10: 3639495721
- ISBN-13: 9783639495720
- Format: 15.2 x 22.9 x 0.8 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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Description
In this book one- and two-dimensional option prices are computed with the help of two different techniques: one using randomness, the Monte Carlo method and the other based on solving PDEs with finite difference methods. The use of the computer is in this case fundamental, because an important computing power is needed for both methods. The two techniques are implemented with MATLAB and applied to different kinds of options.
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- Author: Sandro Calore
- Publisher: AV Akademikerverlag
- Year: 2013
- Pages: 140
- ISBN-10: 3639495721
- ISBN-13: 9783639495720
- Format: 15.2 x 22.9 x 0.8 cm, minkšti viršeliai
- Language: English English
In this book one- and two-dimensional option prices are computed with the help of two different techniques: one using randomness, the Monte Carlo method and the other based on solving PDEs with finite difference methods. The use of the computer is in this case fundamental, because an important computing power is needed for both methods. The two techniques are implemented with MATLAB and applied to different kinds of options.
Reviews