The numerical solution of the American option pricing problem finite difference and transform approaches
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific Pub.
2014
|
| Schlagworte: | |
| Online-Zugang: | DE-1046 DE-1047 DE-860 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Inhaltsangabe:
- Introduction
- The Merton and Heston model for a call
- American call options under jump-diffusion processes
- American option prices under stochastic volatility and jump-diffusion dynamics-the transform approach
- Representation and numerical approximation of American option prices under Heston Fourier Cosine expansion approach
- A numerical approach to pricing American call options under SVJD
- Conclusions
- Bibliography
- Index
- The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pr