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Robust Numerical Schemes for Pricing of Selected Options

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F18%3A00006313" target="_blank" >RIV/46747885:24510/18:00006313 - isvavai.cz</a>

  • Alternative codes found

    RIV/61989100:27510/18:10241022 RIV/61988987:17610/19:A2001ZTK RIV/61989100:27510/18:86090744

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Robust Numerical Schemes for Pricing of Selected Options

  • Original language description

    Option pricing is a very attractive issue of fi nancial engineering and optimization. The problem of determining the fair price of an option arises from the assumptions made under a given fi nancial market model. The increasing complexity of such assumptions contributes to the popularity of the numerical treatment of option valuation. This book presents three novel numerical techniques arising from the discontinuous Galerkin method, the wavelet approach and the fuzzy transform technique. A theoretical comparison is accompanied by an empirical study based on the numerical verifi cation of simple vanilla option prices and their sensitivities. The advanced treatment of option pricing provided in the book makes it useful especially for Ph.D. students, researchers as well as practitioners in fi nancial sector.

  • Czech name

  • Czech description

Classification

  • Type

    B - Specialist book

  • CEP classification

  • OECD FORD branch

    10102 - Applied mathematics

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • ISBN

    978-80-248-4269-1

  • Number of pages

    162

  • Publisher name

    VŠB-TU Ostrava

  • Place of publication

    Ostrava

  • UT code for WoS book