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...

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Dettagli Bibliografici
Autore principale: Liu, P
Natura: Tesi
Pubblicazione: University of Oxford;Mathematics 2008