نتایج جستجو برای: european and american option difference schemes
تعداد نتایج: 16921562 فیلتر نتایج به سال:
the present study was carried on to investigate the use of face-keeping strategies in reaction to complaints by male and female in two different cultures, persian and american english. to see if apology strategies are affected by cultural, contextual preferences and gender of interlocutors in two distinct languages of persian and american english. the hypotheses to be tested were 1) ifids, acce...
in his last years of life americans had almost forgotton steinbeck, and those who had not, occasionally criticized him for supporting and praising the u. s. military intervention in the vietnam war. althought ateinbeck incorporates different themes into his works, each one bears many signs of his concern and sympathy for america and the american common people in particular. steinbecks to a god ...
We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von Neumann we perform a thorough Fourier analysis of the problem and deduce convergence of our scheme. We present results of numerical exper...
We propose an efficient hybrid tree/finite difference method in order to approximate the Heston model (and possibly other stochastic volatility models). We prove the convergence by embedding the procedure in a bivariate Markov chain and we study the approximation of European and American option prices. We finally provide numerical experiments that give accurate option prices in the Heston model...
Put options are commonly used in the stock market to protect against the decline of the price of a stock below a specified price. On the other hand, finite difference approach is a well-known and well-resulted numerical scheme for financial differential equations. As such in this work, a new spatial discretization based on finite difference semi-discretization procedure with high order of accur...
This paper explores the utility of a discrete singular convolution (DSC) algorithm for solving the Black–Scholes equation. Both European and American style options, which include all nontrivial plain option pricing problems, are considered to test the accuracy and to examine the efficiency of the present algorithm. Adaptive meshes are constructed to enhance the performance of the DSC algorithm....
In this paper we consider the European continuous installment call option. Then its linear complementarity formulation is given. Writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. Finally finite element method is applied to price the European continuous installment call option.
in this paper we consider the european continuous installment call option. then its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.
In this work, we derive an analytical solution for the value of Parisian up-and-in calls by using the “moving window” technique developed by Zhu and Chen [15] for pricing European-style Parisian up-and-out calls. Our pricing formula can be applied to both European-style and American-style Parisian up-and-in calls, due to the fact that with an “in” barrier, the option holder cannot do or decide ...
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