An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-12-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/1/187 |
| _version_ | 1797431401063120896 |
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| author | Denis Veliu Roberto De Marchis Mario Marino Antonio Luciano Martire |
| author_facet | Denis Veliu Roberto De Marchis Mario Marino Antonio Luciano Martire |
| author_sort | Denis Veliu |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T09:44:24Z |
| format | Article |
| id | doaj.art-1d3a2a9a362a41bd93759fb0b634f96a |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T09:44:24Z |
| publishDate | 2022-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-1d3a2a9a362a41bd93759fb0b634f96a2023-12-02T00:39:02ZengMDPI AGMathematics2227-73902022-12-0111118710.3390/math11010187An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American OptionsDenis Veliu0Roberto De Marchis1Mario Marino2Antonio Luciano Martire3Departament of Finance-Banking, Metropolitan University of Tirana, 1000 Tirana, AlbaniaMEMOTEF Department, Sapienza University of Rome, 00185 Rome, ItalyDEAMS “Bruno De Finetti”, University of Trieste, 34127 Trieste, ItalyDepartment of Business Economics, Roma Tre University, 00185 Rome, ItalyThis 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.https://www.mdpi.com/2227-7390/11/1/187American put pricingnonstandard Volterra integral equationsfree boundary problem |
| spellingShingle | Denis Veliu Roberto De Marchis Mario Marino Antonio Luciano Martire An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options Mathematics American put pricing nonstandard Volterra integral equations free boundary problem |
| title | An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options |
| title_full | An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options |
| title_fullStr | An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options |
| title_full_unstemmed | An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options |
| title_short | An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options |
| title_sort | alternative numerical scheme to approximate the early exercise boundary of american options |
| topic | American put pricing nonstandard Volterra integral equations free boundary problem |
| url | https://www.mdpi.com/2227-7390/11/1/187 |
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