Collocation Methods for Pricing American Strangle Options
نویسندگان
چکیده
منابع مشابه
Methods for Pricing American Options under Regime
We analyze a number of techniques for pricing American options under a regime 4 switching stochastic process. The techniques analyzed include both explicit and implicit discretiza5 tions with the focus being on methods which are unconditionally stable. In the case of implicit 6 methods we also compare a number of iterative procedures for solving the associated nonlinear al7 gebraic equations. N...
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We analyze a number of techniques for pricing American options under a regime switching stochastic process. The techniques analyzed include both explicit and implicit discretizations with the focus being on methods which are unconditionally stable. In the case of implicit methods we also compare a number of iterative procedures for solving the associated nonlinear algebraic equations. Numerical...
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ژورنال
عنوان ژورنال: Accounting and Finance Research
سال: 2012
ISSN: 1927-5994,1927-5986
DOI: 10.5430/afr.v1n1p207