An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options

被引：0

作者：

Veliu, Denis ^{[1
]}

De Marchis, Roberto ^{[2
]}

Marino, Mario ^{[3
]}

Martire, Antonio Luciano ^{[4
]}

机构：

[1] Metropolitan Univ Tirana, Dept Finance Banking, Tirana 1000, Albania

[2] Sapienza Univ Rome, MEMOTEF Dept, I-00185 Rome, Italy

[3] Univ Trieste, DEAMS Bruno Finetti, I-34127 Trieste, Italy

[4] Roma Tre Univ, Dept Business Econ, I-00185 Rome, Italy

来源：

MATHEMATICS | 2023年 / 11卷 / 01期

关键词：

American put pricing; nonstandard Volterra integral equations; free boundary problem; VALUATION;

D O I：

10.3390/math11010187

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer calculations rather than other previously described methods.

引用

页数：12

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