ISBN: 9783659564895 - numerical analysis of stochastic volatility jump diffusion models: case of options pricing (9 resultados)

Condición: New. pp. 104.

Taschenbuch. Condición: Neu. Numerical Analysis Of Stochastic Volatility Jump Diffusion Models | Case Of Options Pricing | Abdelilah Jraifi | Taschenbuch | 104 S. | Englisch | 2014 | LAP LAMBERT Academic Publishing | EAN 9783659564895 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. …

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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system 'EIDS', of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value. 104 pp. Englisch.…

Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Jraifi AbdelilahAbdelilah Jraifi, Professor of Higher Education Assistant at ENSA Safi, Morocco., Doctor in Applied Mathematics in Finance of University Mohammed V-Agdal, Mohammedia Engineering School and of University of Valencienne. …

Condición: New. Print on Demand pp. 104 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system 'EIDS', of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.…

Condición: New. PRINT ON DEMAND pp. 104.

Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system 'EIDS', of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 104 pp. Englisch.…