Numerical methods in finance (Paperback) (ISBN-13: 9783639495720)

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.

Author: Sandro Calore
ISBN-10: 3639495721
ISBN-13: 9783639495720
Publisher: AV Akademikerverlag
Language: English
Published: 12/12/2013
Pages: 140
Format: Paperback
Weight: 0.47lbs
Size: 9.00h x 6.00w x 0.33d