PDE and martingale methods in option pricing

PDE and martingale methods in option pricing

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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second...

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Detalhes bibliográficos
Autor principal: Pascucci, Andrea
Autor Corporativo: SpringerLink (Online service)
Formato: Electronic Resource
Idioma:English
Publicado em: Milan, New York Springer c2011.
coleção:Bocconi & springer series 2
Assuntos:
Options (Finance) > Prices > Mathematical models.
Martingales (Mathematics)
Differential equations, Partial.
Electronic books.
Acesso em linha:Available for University of the Philippines Diliman via SpringerLink. Click here to access