A Numerical Approach to the Study of the Perpetual Case of Ameripean Options

被引：0
作者：
Kandilarov, J. [1 ]
机构：
[1] Univ Rousse, Dept Math, FNSE, Rousse 7017, Bulgaria
来源：
39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13) | 2013年 / 1570卷
关键词：
Ameripean options; Free boundary problem; Crank-Nicolson scheme; AMERICAN; MODEL;
D O I：
10.1063/1.4854751
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A new numerical method for solving the perpetual case of Ameripean options is proposed. The Ameripean delayed exercise model analyzes a new class of option model with American and ParAsian features. The model is mathematically described by ultraparabolic and parabolic PDE's which are valid over different regions. The perpetual case leads to the parabolic-elliptic two-phase Stefan problem with free internal boundary. To deal with the obtained nonlinear problem an iterative numerical method is proposed. Numerical analysis are presented and discussed.
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页码：128 / 134
页数：7
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