Pricing of Exotic Options
In Chapter 4 we have discussed the pricing of plain-vanilla options by means of finite differences. The methods were based on the simple partial differential equation (4.2), $${}_{{c_j}}{S^j}\frac{{{\partial ^j}y}}{{\partial {S^j}}}$$ which was obtained f
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Springer-Verlag Berlin Heidelberg GmbH
Rudiger Seydel
Tools for Computational Finance Second Edition
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Springer
Rudiger Seydel University of Koln Institute of Mathematics Weyertal 86-90 50931 Koln, Germany e-mail: [email protected]
Cataloging-in-Publication Data applied for A catalog record for this book is available from the library of Congress. Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at .
The figure in the front cover illustrates the value of an American put option. The slices are taken from the surface shown in Figure 104.
ISBN 978-3-540-40604-4 ISBN 978-3-662-22551-6 (eBook) DOI 10.1007/978-3-662-22551-6 Mathematics Subject Classification (2000): 65-01,90-01, 90A09
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Preface to the Second Edition
This edition contains more material. The largest addition is a new section on jump processes (Section 1.9). The derivation of a related partial integrodifferential equation is included in Appendix A3. More material is devoted to Monte Carlo simulation. An algorithm for the standard workhorse of inverting the normal distribution is added to Appendix A7. New figures and more exercises are intended to improve the clarity at some places. Several further references give hints on more advanced material and on important developments. Many small changes are hoped to improve the readability of this book. Further I have made an effort to correct misprints and errors that I knew about. A new domain is being prepared to serve the needs of the computational finance community, and to provide complementary material to this book. The address of the domain is www.compfin.de The domain is under construction; it replaces the website address www . mi. unikoeln.de/numerik/compfin/. Suggestions and remarks both on this boo
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