Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing
نویسندگان
چکیده
منابع مشابه
A Simple Numerical Method for Pricing an American Put Option
We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary. Employing it, we can easily determine the optimal exercise boundary by solving a quadratic equation in time-recursive way. We also present several numerical results wh...
متن کاملA Newton Method for American Option Pricing
The variational inequality formulation provides a mechanism to determine both the option value and the early exercise curve implicitly [17]. Standard finite difference approximation typically leads to linear complementarity problems with tridiagonal coefficient matrices. The second order upwind finite difference formulation gives rise to finite dimensional linear complementarity problems with n...
متن کاملComputing option pricing models under transaction costs
This paper deals with the Barles–Sonermodel arising in the hedging of portfolios for option pricing with transaction costs. This model is based on a correction volatility function Ψ solution of a nonlinear ordinary differential equation. In this paper we obtain relevant properties of the function Ψ which are crucial in the numerical analysis and computing of the underlying nonlinear Black–Schol...
متن کاملthe algorithm for solving the inverse numerical range problem
برد عددی ماتریس مربعی a را با w(a) نشان داده و به این صورت تعریف می کنیم w(a)={x8ax:x ?s1} ، که در آن s1 گوی واحد است. در سال 2009، راسل کاردن مساله برد عددی معکوس را به این صورت مطرح کرده است : برای نقطه z?w(a)، بردار x?s1 را به گونه ای می یابیم که z=x*ax، در این پایان نامه ، الگوریتمی برای حل مساله برد عددی معکوس ارانه می دهیم.
15 صفحه اولAmerican option pricing under stochastic volatility: an efficient numerical approach
This paper develops a new numerical technique to price an American option written upon an underlying asset that follows a bivariate diffusion process. The technique presented here exploits the supermartingale representation of an American option price together with a coarse approximation of its early exercise surface that is based on an efficient implementation of the least-squares Monte–Carlo ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Abstract and Applied Analysis
سال: 2014
ISSN: 1085-3375,1687-0409
DOI: 10.1155/2014/146745