### Abstract

Language | English |
---|---|

Place of Publication | Cambridge, UK |

Number of pages | 273 |

DOIs | |

Publication status | Published - 2004 |

### Fingerprint

### Keywords

- mathematical models
- valuation
- options
- finance

### Cite this

*An introduction to financial option valuation: mathematics, stochastics and computation*. Cambridge, UK. https://doi.org/10.2277/0521547571

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*An introduction to financial option valuation: mathematics, stochastics and computation*. Cambridge, UK. https://doi.org/10.2277/0521547571

**An introduction to financial option valuation: mathematics, stochastics and computation.** / Higham, D.J.

Research output: Book/Report › Book

TY - BOOK

T1 - An introduction to financial option valuation: mathematics, stochastics and computation

AU - Higham, D.J.

PY - 2004

Y1 - 2004

N2 - This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.

AB - This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.

KW - mathematical models

KW - valuation

KW - options

KW - finance

UR - http://dx.doi.org/10.2277/0521547571

U2 - 10.2277/0521547571

DO - 10.2277/0521547571

M3 - Book

SN - 0521547571

BT - An introduction to financial option valuation: mathematics, stochastics and computation

CY - Cambridge, UK

ER -