A simple numerical method for pricing an American put option

DOI10.1155/2013/128025zbMath1266.91104OpenAlexW2011289995WikidataQ59001689 ScholiaQ59001689MaRDI QIDQ2375408

Hi Jun Choe, Yong-Ki Ma, Beom Jin Kim

Publication date: 14 June 2013

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/128025

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ Primal-Dual Active-Set Method for the Valuation Of American Exchange Options ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ Solving American option pricing models by the front fixing method: numerical analysis and computing ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options ⋮ Constructing positive reliable numerical solution for American call options: a new front-fixing approach ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ Two simple numerical methods for the free boundary in one-phase Stefan problem

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