Fitted Finite Volume and Power Penalty Methods for Option Pricing

Discover the intricacies of option pricing with "Fitted Finite Volume and Power Penalty Methods for Option Pricing" by Song Wang. Published by Springer Verlag in 2020, this insightful book spans 94 pages and is designed for both students and professionals in finance and mathematics.

The book is structured into three comprehensive parts: it begins with the fundamental theory of stochastic control and the formulation of various option pricing models. The second part focuses on the design of innovative algorithms, including finite volume, finite difference, and penalty-based methods for effectively solving these models. Finally, the book concludes with an in-depth analysis of the stability and convergence of these algorithms, ensuring a robust understanding of the subject matter.

Whether you're looking to enhance your knowledge or apply these methods in practice, this first edition is an essential addition to your collection.