Nonlinear Option Pricing

Nonlinear Option Pricing

Forfatter: Pierre Henry-Labordere, Julien Guyon
Forlag: CRC Press
Utgave: 1
Utgivelsesår: 2013
ISBN: 9781032919393

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New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi

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