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Has files: falseSubject: Numerical methods

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    Conference Object
    Citation - WoS: 1
    Citation - Scopus: 1
    On the Methods of Pricing American Options: Case Study
    (Springer, 2018) Aydogan, Burcu; Aksoy, Umit; Ugur, Omur
    In this study, a comparative analysis of numerical and approximation methods for pricing American options is performed. Binomial and finite difference approximations are discussed; furthermore, Roll-Geske-Whaley, Barone-Adesi and Whaley and Bjerksund-Stensland analytical approximations as well as the least-squares Monte Carlo method of Longstaff and Schwartz are presented. Applicability and efficiency in almost all circumstances, numerical solutions of the corresponding free boundary problem is emphasized. Methods used in pricing American options are also compared on dividend and non-dividend paying assets; and their pros and cons are discussed along with numerical experiments.
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    Book
    Citation - Scopus: 1
    Numerical Analysis on Time Scales
    (De Gruyter, 2022) Georgiev,S.G.; Erhan,I.M.
    Mathematical models cannot be solved using the traditional analytical methods for dynamic equations on time scales. These models must be dealt with using computational methods. This textbook introduces numerical methods for initial value problems for dynamic equations on time scales. Hands-on examples utilizing MATLAB and practical problems illustrate a wide variety of solution techniques. This textbook discusses the design, analysis and applications of computational techniques for dynamic equations on time scales. Hands-on examples utilizing MATLAB are provided as well as end of chapter problems. © 2022 Walter de Gruyter GmbH, Berlin/Boston. All rights reserved.