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Numerical Methods for Financial Derivatives

  • O. Skavhaug
  • B. F. Nielsen
  • A. Tveito
Part of the Lecture Notes in Computational Science and Engineering book series (LNCSE, volume 33)

Abstract

Analytical solutions of the mathematical equations modeling the behavior of financial derivatives, like the price of option contracts, are seldom available. Only in the simplest cases, e.g., vanilla European put and call options, do analytical solutions exist. For most other option models, numerical techniques must be applied to compute solutions of the mathematical models. For exotic option contracts, computing the option prices numerically may be the only pricing mechanism available.

Keywords

Option Price Call Option Expiry Date Underlying Asset Option Contract 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2003

Authors and Affiliations

  • O. Skavhaug
    • 1
    • 2
  • B. F. Nielsen
    • 1
    • 2
  • A. Tveito
    • 1
    • 2
  1. 1.Simula Research LaboratoryNorway
  2. 2.Department of InformaticsUniversity of OsloNorway

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