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...
Auteur principal: | Liu, P |
---|---|
Format: | Thèse |
Publié: |
University of Oxford;Mathematics
2008
|
Documents similaires
-
Numerical methods for American option pricing
par: Liu, P
Publié: (2008) -
A Simple Numerical Method for Pricing an American Put Option
par: Beom Jin Kim, et autres
Publié: (2013-01-01) -
Accurate Numerical Method for Pricing Two-Asset American Put Options
par: Xianbin Wu
Publié: (2013-01-01) -
New Methods with Capped Options for Pricing American Options
par: Dongya Deng, et autres
Publié: (2014-01-01) -
Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing
par: R. Company, et autres
Publié: (2014-01-01)