A Numerical Approach for the American Call Option Pricing Model

DOI10.1007/978-3-642-18466-6_54MaRDI QIDQ3075297zbMATH OpenOpenAlexFDO

Authors J. D. Kandilarov, R. Valkov

Publication date 11 February 2011

Published in Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18466-6_54

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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Cited in

(27)

• An upwind approach for an American and European option pricing model
• Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
• A master equation approach to option pricing
• Stock loan valuation under a stochastic interest rate model
• Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process
• A simple numerical method for pricing an American put option
• Parameter estimation approach to the free boundary for the pricing of an American call option
• Computation and sensitivity analysis of the pricing of American call options
• Analysis of the free boundary for the pricing of an American call option
• Comparison of two numerical methods for computation of American type of the floating strike Asian option
• The numerical solution of the American option pricing problem. Finite difference and transform approaches
• scientific article; zbMATH DE number 6613079 (Why is no real title available?)
• Finite-difference bisection algorithms for free boundaries of American options
• scientific article; zbMATH DE number 5710731 (Why is no real title available?)
• scientific article; zbMATH DE number 5631873 (Why is no real title available?)
• scientific article; zbMATH DE number 1070523 (Why is no real title available?)
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Mathematical models for the pricing of American call options
• Constructing positive reliable numerical solution for American call options: a new front-fixing approach
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE
• Numerical method for solving free boundary problem arising from fixed rate mortgages
• Finite difference schemes of pricing for American call options with free and moving boundary value
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
• Approximation of the free boundary of an American call option by finite differences on parallelograms
• Numerical determination of time-dependent volatility for American option when the optimal exercise boundary is known
• Computation of the unknown time-dependent volatility of American options from integral observations
• A new numerical method an American option pricing

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