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Computing Financial Derivatives
A Finite-Difference Approach
Series: Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series
From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretisation techniques, numerical algorithms, distributed algorithms, and practical applications...
To Be Published January 14th 2013 by Chapman and Hall/CRC