Evaluation of Various Numerical Methods of Option Pricing

Peihan Xiong

ISBN 10: 3659512443 / ISBN 13: 9783659512445

Published by LAP LAMBERT Academic Publishing Jan 2014, 2014

About this Item

Neuware -Derivatives in financial market play an important and useful role in hedging and managing risk. Derivative securities, when used correctly, can help investors increase their expected returns and minimize their exposure to risk. Options offer leverage and insurance for risk-averse investors. For the risk-alike investors, they can be ways of speculation. However, the values of option depend on a number of different variables in addition to the underlying asset, which makes them hard to value. This book explored some commonly used pricing models and compared their accuracy for the valuation. In the last section, it introduced a new numerical scheme --- the Radial Basis Function Method (RBF), particularly Hardy¿s multiquadric (MQ) as a spatial approximation for the numerical solution of the option value and its derivatives.Books on Demand GmbH, Überseering 33, 22297 Hamburg 68 pp. Englisch.

Seller Inventory # 9783659512445

Bibliographic Details

• Title: Evaluation of Various Numerical Methods of Option Pricing
• Publisher: LAP LAMBERT Academic Publishing Jan 2014
• Publication Date: 2014
• Language: English
• ISBN 10: 3659512443
• ISBN 13: 9783659512445
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 5D millimeters 220 millimeters width by 150 millimeters height by 5 millimeters depth
• Weight: 119 grams

About this title

Synopsis

Derivatives in financial market play an important and useful role in hedging and managing risk. Derivative securities, when used correctly, can help investors increase their expected returns and minimize their exposure to risk. Options offer leverage and insurance for risk-averse investors. For the risk-alike investors, they can be ways of speculation. However, the values of option depend on a number of different variables in addition to the underlying asset, which makes them hard to value. This book explored some commonly used pricing models and compared their accuracy for the valuation. In the last section, it introduced a new numerical scheme --- the Radial Basis Function Method (RBF), particularly Hardy’s multiquadric (MQ) as a spatial approximation for the numerical solution of the option value and its derivatives.

About the Author

Master in Arts in Mathematical Finance in Columbia University in the city of New York