Coverart for item
The Resource An introduction to financial option valuation : mathematics, stochastics, and computation, Desmond J. Higham, (electronic book)

An introduction to financial option valuation : mathematics, stochastics, and computation, Desmond J. Higham, (electronic book)

Label
An introduction to financial option valuation : mathematics, stochastics, and computation
Title
An introduction to financial option valuation
Title remainder
mathematics, stochastics, and computation
Statement of responsibility
Desmond J. Higham
Creator
Subject
Language
eng
Summary
Textbook providing an introduction to financial option valuation for undergraduates. Solutions available from solutions@cambridge.org
Member of
Cataloging source
CAMBR
http://library.link/vocab/creatorDate
1964-
http://library.link/vocab/creatorName
Higham, Desmond J.
Illustrations
illustrations
Index
index present
LC call number
HG6024.A3
LC item number
H532 2004eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/subjectName
  • Options (Finance)
  • Options (Finance)
  • Derivative securities
Label
An introduction to financial option valuation : mathematics, stochastics, and computation, Desmond J. Higham, (electronic book)
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 267-270) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE
Control code
ocn817935730
Dimensions
unknown
Extent
1 online resource (xxi, 273 pages)
File format
unknown
Form of item
online
Isbn
9780521547574
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
Label
An introduction to financial option valuation : mathematics, stochastics, and computation, Desmond J. Higham, (electronic book)
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references (pages 267-270) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Option valuation preliminaries -- Random variables -- Computer simulation -- Asset price movement -- Asset price model: part I -- Asset price model: part II -- Black-Scholes PDE and formulas -- More on hedging -- The Greeks -- More on the Black-Scholes formulas -- Risk neutrality -- Solving a nonlinear equation -- Implied volitility -- The Monte Carlo method -- The binomial method -- Cash-or-nothing options -- American options -- Exotic options -- Historical volatility -- Monte Carlo part II: variance reduction by antithetic variates -- Monte Carlo part III: variance reduction by control variates -- Finite difference methods -- Finite difference methods for the Black-Scholes PDE
Control code
ocn817935730
Dimensions
unknown
Extent
1 online resource (xxi, 273 pages)
File format
unknown
Form of item
online
Isbn
9780521547574
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote

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