Numerical methods for Volatility Estimation and Option Pricing

Numerical methods for Volatility Estimation and Option Pricing
48,97 € *

inkl. MwSt. zzgl. Versandkosten

Sofort versandfertig, Lieferzeit ca. 1-3 Werktage

Erhältlich als:

ISBN: 9783841673442
Autor: Ibtissam Medarhri
Einband/Bindung: Taschenbuch
Seitenzahl: 120
Sprache: Englisch
Erscheinungsjahr: 2017
Verlag: Editions Universitaires Europeennes EUE
  • 30 Tage Rückgaberecht
  • Günstige Preise
  • Versandkostenfrei ab 20€
This manuscript presents a synthesis of my contributions during the years of my thesis that I defended in 2015. We have been interested in the applications of mathematics in finance such as option pricing and volatility estimation. First, we dealt with calibrating local volatility problem from market option prices, which is an inverse problem. We proposed an alternative approach based on the regularization method of Tikhonov, using the Dupire partial differential equation modeling the option price, and we tested numerically the proposed algorithms. On the other hand, we developed an adequate method of 'DDGRK' Direct Discontinuous Galerkin, and Runge-Kutta of order two and three for the time discretization for pricing Option. Finally, we proposed the Runge-Kutta stochastic method in time for the evaluation of an European option with stochastic volatility when the volatility dynamics follows the CEV model.
Artikel-Nr.: 9783841673442
Weiterführende Links zu "Numerical methods for Volatility Estimation and Option Pricing"
Kunden kauften auch
Kunden haben sich ebenfalls angesehen
Zuletzt angesehen