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1、ThispageintentionallyleftblankANINTRODUCTIONTOFINANCIALOPTIONVALUATIONMathematics,StochasticsandComputationThisisalivelytextbookprovidingasolidintroductiontofinancialoptionvaluationforundergraduatestudentsarmedwithonlyaworkingknowledgeoffirstyearcalculu
2、s.Writtenasaseriesofshortchapters,thisself-containedtreatmentgivesequalweighttoappliedmathematics,stochasticsandcomputationalalgorithms,withnopriorbackgroundinprobability,statisticsornumericalanalysisrequired.Detailedderivationsofboththebasicassetpric
3、emodelandtheBlack–Scholesequationareprovidedalongwithapresentationofappropriatecomputationaltech-niquesincludingbinomial,finitedifferencesand,inparticular,variancereductiontechniquesfortheMonteCarlomethod.Eachchaptercomescompletewithaccompanyingstand-a
4、loneMATLABcodelistingtoillustrateakeyidea.Theauthorhasmadeheavyuseoffiguresandex-amples,andhasincludedcomputationsbasedonrealstockmarketdata.Solutionstoexercisesaremadeavailableatwww.cambridge.org.DESHIGHAMisaprofessorofmathematicsattheUniversityofStra
5、thclyde.Hehasco-writtentwopreviousbooks,MATLABGuideandLearningLaTeX.In2005hewasawardedtheGermundDahlquistPrizebytheSocietyforIndustrialandAppliedMathematicsforhisresearchcontributionstoabroadrangeofproblemsinnumericalanalysis.ANINTRODUCTIONTOFINANCIAL
6、OPTIONVALUATIONMathematics,StochasticsandComputationDESMONDJ.HIGHAMDepartmentofMathematicsUniversityofStrathclydeCAMBRIDGEUNIVERSITYPRESSCambridge,NewYork,Melbourne,Madrid,CapeTown,Singapore,SãoPauloCambridgeUniversityPressTheEdinburghBuilding,Cambrid
7、geCB28RU,UKPublishedintheUnitedStatesofAmericabyCambridgeUniversityPress,NewYorkwww.cambridge.orgInformationonthistitle:www.cambridge.org/9780521838849©CambridgeUniversityPress2004Thispublicationisincopyright.Subjecttostatutoryexceptionandtotheprovisi
8、onofrelevantcollectivelicensingagreements,noreproductionofanypartmaytakeplacewithoutthewrittenpermissionofCambridgeUniversityPress.Firstpublishedinprintformat2004ISBN-13978-0-511-33704-8eBook(EBL)ISBN-100-511-33704-3eBook(EBL)ISBN-13978-0-521-
