Mathematical models and methods for option pricing

Author: Jiang Lishang
Publisher:
Publish Date: 2003-01-01
Features: Options are core tools for risk management. Scholes and Melton, who made outstanding contributions to option pricing theory, were awarded the Nobel Prize in Economics in 1997 for this work. This book systematically and thoroughly elaborates on the Black-Scholes-Merton option pricing theory from the perspective and methods of partial differential equations. On one hand, it elucidates the fundamental ideas of option pricing theory from multiple angles and levels; on the other hand, it makes in-depth qualitative and quantitative analyses of option theory by fully utilizing the theory and methods of partial differential equations. Special attention is given to important issues such as American options, path-dependent options, and implied volatility, with detailed discussions. Additionally, the book provides dedicated sections to introduce the modern mathematical content involved, striving to make the content self-contained. This book can serve as a graduate textbook for majors in applied mathematics, finance, insurance, management, and related fields, as well as a reference for researchers and professionals in these areas. The book systematically and thoroughly elaborates on the Black-Scholes-Merton option pricing theory from the perspective and methods of partial differential equations.