An ETD Method for Vulnerable American Options

An ETD Method for Vulnerable American Options

This paper introduces the exponential time differencing (ETD) technique as a numerical method to efficiently solve vulnerable American options pricing. We address several challenges, including removing cross-derivative terms through appropriate transformations, treating early-exercise opportunities...

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Bibliographic Details
Main Authors: Rafael Company, Vera N. Egorova, Lucas Jódar
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Mathematics
Subjects:
vulnerable options
default risk
exponential time differencing
penalty method
Online Access:https://www.mdpi.com/2227-7390/12/4/602

Internet

https://www.mdpi.com/2227-7390/12/4/602

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