A Simple Numerical Method for Pricing an American Put Option
Joint Authors
Choe, Hi Jun
Kim, Beom Jin
Ma, Yong-Ki
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-02-28
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
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 which illustrate a comparison to other methods.
American Psychological Association (APA)
Kim, Beom Jin& Ma, Yong-Ki& Choe, Hi Jun. 2013. A Simple Numerical Method for Pricing an American Put Option. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-447852
Modern Language Association (MLA)
Kim, Beom Jin…[et al.]. A Simple Numerical Method for Pricing an American Put Option. Journal of Applied Mathematics No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-447852
American Medical Association (AMA)
Kim, Beom Jin& Ma, Yong-Ki& Choe, Hi Jun. A Simple Numerical Method for Pricing an American Put Option. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-447852
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447852
