Numerical Partial Differential Solution of the Black-Scholes Equation (Paperback)
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Von Händler/Antiquariat, BuySomeBooks [52360437], Las Vegas, NV, U.S.A.
Paperback. 92 pages. Dimensions: 8.7in. x 5.9in. x 0.2in.Meshfree radial basis functions (RBF) is an interpolation technique for constructing an unknown function from scattered data. We apply the RBF method in evaluating the price of standard American options. The analytical solution of the European option exists and can be obtained by the Black-Scholes formula. There is no exact solution of the American option problem due to the existence of an early exercise constraint which leads to a free boundary condition. We evaluate the American Option by adding a small continuous nonlinear penalty term to the Black-Scholes model to remove the free boundary condition. The application of RBFs leads to a system ordinary differential equations which are solved by a time integration scheme known as the -method. The option price is approximated with RBF with unknown parameters at each time step. We compare the accuracy, efficiency and computational cost of three RBFs Gaussian, Multiquadric and the Inverse-multiquadric. Finally a comparison is made between the three RBFs and the solution obtained by finite difference approximations. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN.

Von Händler/Antiquariat, The Book Depository EURO [60485773], London, United Kingdom.
Language: English Brand New Book ***** Print on Demand *****.Meshfree radial basis functions (RBF) is an interpolation technique for constructing an unknown function from scattered data. We apply the RBF method in evaluating the price of standard American options. The analytical solution of the European option exists and can be obtained by the Black-Scholes formula. There is no exact solution of the American option problem due to the existence of an early exercise constraint which leads to a free boundary condition. We evaluate the American Option by adding a small continuous nonlinear penalty term to the Black-Scholes model to remove the free boundary condition. The application of RBFs leads to a system ordinary differential equations which are solved by a time integration scheme known as the -method. The option price is approximated with RBF with unknown parameters at each time step. We compare the accuracy, efficiency and computational cost of three RBFs Gaussian, Multiquadric and the Inverse-multiquadric. Finally a comparison is made between the three RBFs and the solution obtained by finite difference approximations.

Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Titel. Neuware - Meshfree radial basis functions (RBF) is an interpolation technique for constructing an unknown function from scattered data. We apply the RBF method in evaluating the price of standard American options. The analytical solution of the European option exists and can be obtained by the Black-Scholes formula. There is no exact solution of the American option problem due to the existence of an early exercise constraint which leads to a free boundary condition. We evaluate the American Option by adding a small continuous nonlinear penalty term to the Black-Scholes model to remove the free boundary condition. The application of RBFs leads to a system ordinary differential equations which are solved by a time integration scheme known as the -method. The option price is approximated with RBF with unknown parameters at each time step. We compare the accuracy, efficiency and computational cost of three RBFs Gaussian, Multiquadric and the Inverse-multiquadric. Finally a comparison is made between the three RBFs and the solution obtained by finite difference approximations. 92 pp. Englisch.

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Numerical Partial Differential Solution Of The Black-scholes Equation, Meshfree radial basis functions (RBF) is an interpolation technique for constructing an unknown function from scattered data. We apply the RBF method in evaluating the price of standard American options. The analytical solution of the European option exists and can be obtained by the Black-Scholes formula. There is no exact solution of the American option problem due to the existence of an early exercise constraint which leads to a free boundary condition. We evaluate the American Option by adding a small continuous nonlinear penalty term to the Black-Scholes model to remove the free boundary condition. The application of RBFs leads to a system ordinary differential equations which are solved by a time integration scheme known as the -method. The option price is approximated with RBF with unknown parameters at each time step. We compare the accuracy, efficiency and computational cost of three RBFs Gaussian, Multiquadric and the Inverse-multiquadric. Finally a comparison is made between the three RBFs and the solution obtained by finite difference approximations.

Von Händler/Antiquariat, Books2Anywhere [190245], Fairford, GLOS, United Kingdom.
New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. This item is printed on demand.