Numerical Methods And Partial Differential Equations For European And American Derivatives With Complete And Incomplete Information

The following sections are included:Chapter OutlineIntroductionValuation of American Calls on Dividend-Paying StocksThe Schwartz modelThe numerical solutionAmerican Puts on Dividend-Paying StocksThe Brennan and Schwartz modelThe numerical solutionNumerical Procedures in the Presence of Information Costs: ApplicationsFinite difference methods in the presence of information costsAn application to the American put using explicit or implicit finite difference methodsConvertible BondsSpecific features of CBThe valuation equationsThe numerical solutionSimulationsTwo-Factor Interest Rate Models and Bond Pricing within Information UncertaintyCBs Pricing within Information UncertaintyThe pricing of CBsSpecific call and put featuresThe pricing of CBs in two-factor models within information uncertaintySummaryAppendix A: A Discretizing Strategy for Mean-Reverting ModelsA simple two-point upstream technique in the presence of an implicit schemeAppendix B: An Algorithm for the American Call with DividendsAppendix C: The Algorithm for the American Put with DividendsAppendix D: The Algorithm for CBs with Call and Put PricesQuestionsExercisesSolutionReferences