New Methods with Capped Options for Pricing American 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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The influence of the analytical properties of the Black-Scholes PDE formulation for American and Asian options on the quality of the numerical solution is discussed. It appears that numerical methods for PDEs are quite robust even when the mathematical formulation is not well posed.
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 Applied Mathematics
سال: 2014
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2014/176306