A new integral equation formulation for American put options

被引：13

作者：

Zhu, Song-Ping ^{[1
]}

He, Xin-Jiang ^{[1
]}

Lu, Xiaoping ^{[1
]}

机构：

[1] Univ Wollongong, Inst Math & Its Applicat, Sch Math & Appl Stat, Wollongong, NSW, Australia

来源：

QUANTITATIVE FINANCE | 2018年 / 18卷 / 03期

基金：

澳大利亚研究理事会;

关键词：

Integral equation; American put options; Computational accuracy and efficiency; C02; G13; OPTIMAL EXERCISE BOUNDARY; VALUATION;

D O I：

10.1080/14697688.2017.1348617

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, a completely new integral equation for the price of an American put option as well as its optimal exercise price is successfully derived. Compared to existing integral equations for pricing American options, the new integral formulation has two distinguishable advantages: (i) it is in a form of one-dimensional integral, and (ii) it is in a form that is free from any discontinuity and singularities associated with the optimal exercise boundary at the expiry time. These rather unique features have led to a significant enhancement of the computational accuracy and efficiency as shown in the examples.

引用

页码：483 / 490

页数：8

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