Robust Numerical Schemes for Pricing of Selected Options

Kód výsledku v 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>

Nalezeny alternativní kódy

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

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Robust Numerical Schemes for Pricing of Selected Options

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Robust Numerical Schemes for Pricing of Selected Options

Popis výsledku anglicky

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.

Druh

B - Odborná kniha

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2018

Kód důvěrnosti údajů

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

ISBN

978-80-248-4269-1

Počet stran knihy

162

Název nakladatele

VŠB-TU Ostrava

Místo vydání

Ostrava

Kód UT WoS knihy

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