The contents of the book consist of three parts: (i) basic theory of stochastic control and formulation of various option pricing models, (ii) design of finite volume, finite difference and penalty-based algorithms for solving the models and (iii) stability and convergence analysis of the algorithms. It also contains extensive numerical experiments demonstrating how these algorithms perform for practical problems.  The theoretical and numerical results demonstrate these algorithms provide efficient, accurate and easy-to-implement numerical tools for financial engineers to price options. weiterlesen