Path-dependent American options

被引：0

作者：

Chevalier, Etienne ^{[1
]}

Vath, Vathana Ly ^{[1
,2
]}

Mnif, Mohamed ^{[3
]}

机构：

[1] Univ Evry Val dEssonne, Lab Math & Modelisat Evry LaMME, 23 Blvd France, F-91037 Evry, France

[2] ENSIIE, 1 Sq Resistance, F-91000 Evry, France

[3] Univ Tunis El Manar, ENIT LAMSIN, Rue Bechir Salem Belkhiria Campus Univ,BP 37, Tunis 1002, Tunisia

来源：

JOURNAL OF COMPUTATIONAL FINANCE | 2019年 / 23卷 / 01期

关键词：

stochastic control; path-dependent viscosity solutions; numerical scheme; variational inequalities; American option; VISCOSITY SOLUTIONS; OBSTACLE PROBLEMS;

D O I：

10.21314/JCF.2019.369

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality. We obtain the viscosity characterization of our value function and suggest a monotone, stable and consistent numerical scheme, the convergence of which is proven thanks to the uniqueness property. We further enrich our study by providing and implementing a numerical algorithm. Some numerical results are also included.

引用

页码：61 / 95

页数：35

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