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PDE and Martingale Methods in Option Pricing

About PDE and Martingale Methods in Option Pricing

This detailed book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. It includes a full treatment of arbitrage theory in discrete and continuous time.

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  • Language:
  • English
  • ISBN:
  • 9788847017801
  • Binding:
  • Hardback
  • Pages:
  • 721
  • Published:
  • December 28, 2010
  • Edition:
  • 2
  • Dimensions:
  • 197x247x41 mm.
  • Weight:
  • 1182 g.
Delivery: 2-3 weeks
Expected delivery: October 25, 2024

Description of PDE and Martingale Methods in Option Pricing

This detailed book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. It includes a full treatment of arbitrage theory in discrete and continuous time.

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