Numerical Methods For American Option Pricing
An analytic solution does not exist for evaluating the American put option. Usually, the value is obtained by applying numerical methods. For instance, the PSOR algorithm is a widely used one in financial industry. In the past few years, many other methods to solve American option problems have been...
| Autor principal: | |
|---|---|
| Formato: | Tesis |
| Publicado: |
University of Oxford;Mathematics
2008
|