An Introduction to Financial Option Valuation
From MaRDI portal
Publication:5462954
DOI10.1017/CBO9780511800948zbMath1122.91001MaRDI QIDQ5462954
Publication date: 29 July 2005
finite difference method; hedging; Monte Carlo simulation; partial differential equation; option; arbitrage; volatility; Black-Scholes formula; binomial tree
65C05: Monte Carlo methods
91-08: Computational methods for problems pertaining to game theory, economics, and finance
65N06: Finite difference methods for boundary value problems involving PDEs
91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
65-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis
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