Nonlinear Option Pricing

by Pierre Henry-Labordère and Julien Guyon

New Tools to Solve Your Option Pricing Problems

For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research--including Risk magazine's 2013 Quant of the Year--Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for...

• Format: Paperback
• Language: English
• ISBN: 1032919396
• ISBN13: 9781032919393
• Release Date: October 2024
• Publisher: CRC Press
• Length: 484 Pages