Option pricing in combination with classical numerical integration methods.

Description

Heung Ling-lung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 81-82). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iv / Chapter Chapter1: --- Introduction --- p.1 / Chapter Chapter2: --- Review of binomial schemes and trinomial schemes --- p.4 / Chapter Chapter3: --- Binomial/trinomial scheme from the viewpoint of quadrature --- p.12 / Chapter Chapter4: --- Binomial/trinomial schemes from Gaussian quadrature formula --- p.16 / Chapter Chapter5: --- New Schemes from other quadrature formula --- p.27 / Chapter Chapter6: --- Multinomial scheme --- p.35 / Chapter Chapter7: --- Numerical results --- p.41 / Chapter Chapter8: --- Conclusion --- p.47 / Appendix --- p.49 / Bibliography --- p.81

Links & Downloads

1. cuhk:323520
2. http://library.cuhk.edu.hk/record=b5890662
3. http://repository.lib.cuhk.edu.hk/en/item/cuhk-323520

Tags

Numerical integration

Binomial theorem

Additional Fields

Identifer	oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_323520
Date	January 2001
Contributors	Heung, Ling-lung., Chinese University of Hong Kong Graduate School. Division of Mathematics.
Source Sets	The Chinese University of Hong Kong
Language	English, Chinese
Detected Language	English
Type	Text, bibliography
Format	print, v, 82 leaves ; 30 cm.
Rights	Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)