A direct LU solver for pricing American bond options under Hull–White model
نویسندگان
چکیده
منابع مشابه
Pricing American Options Using LU Decomposition
Numerical solution methods for pricing American options are considered. We propose a second-order accurate Runge-Kutta scheme for the time discretization of the Black-Scholes partial differential equation with an early exercise constraint. We reformulate the algorithm introduced by Brennan and Schwartz into a simple form using a LU decomposition and a modified backward substitution with a proje...
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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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متن کاملMethods for Pricing American Options under Regime Switching
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: Journal of Computational and Applied Mathematics
سال: 2017
ISSN: 0377-0427
DOI: 10.1016/j.cam.2016.05.003