Titlebook: Numerical Methods in Finance; Michèle Breton,Hatem Ben-Ameur Book 2005 Springer-Verlag US 2005 asset.ben-ameur.linear optimization.optimis

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Michèle Breton,Hatem Ben-AmeurOne of ten volumes marking the 25th anniversary of GERAD covering most of the Center‘s research areas of expertise.Presents some exciting developments arising from the combination of mathematics, nume

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On Numerical Methods and the Valuation of American Options, by including stochastic interest rates and proposing a decomposition of the underlying index volatility. We use the Crank — Nicholson numerical scheme in two space dimensions and extend the Alternating Direction Implicit method for the valuation of American options. We also provide an efficient algorithm and simulate Option values.

混沌

Valuing American Contingent Claims when Time to Maturity is Uncertain,where the valuation of such product appears natural, Employee Stock Options and Real Options. We discuss through a numerical example, how the optimal exercise boundary and the Option value are affected by the uncertainty in the maturity, and document significant effects.

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