Pricing American bond options using a cubic spline collocation method

MaRDI QIDQ4627085zbMATH OpenFDO

Authors A. El Hajaji, Khalid Hilal, A. Serghini, E. Bekkaye Mermri

Publication date 7 March 2019

Full work available at URL http://www.spm.uem.br/bspm/pdf/vol32-2/Art15-2.pdf

zbMATH Keywords

American putCox-Ingersoll-Ross CIRspline collocationtrapezoidal method

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• A generalized Jacobian based Newton method for semismooth block-triangular system of equations
• A novel fitted finite volume method for the Black-Scholes equation governing option pricing
• A power penalty approach to numerical solutions of two-asset American options
• A practical guide to splines
• A theory of the term structure of interest rates
• A uniformly convergent scheme on a nonuniform mesh for convection-diffusion parabolic problems
• A verification method for solutions of nonsmooth equations
• Convergence analysis of a monotonic penalty method for American option pricing
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• Numerical pricing of American put options on zero-coupon bonds.
• Power penalty method for a linear complementarity problem arising from American option valuation
• Pricing American bond options using a penalty method
• Quadratic convergence for valuing American options using a penalty method
• Smoothing Methods and Semismooth Methods for Nondifferentiable Operator Equations
• The numerical solution of fifth-order boundary value problems with sixth-degree B-spline functions
• The use, misuse and abuse of mathematics in finance
• Two singular diffusion problems
• Univariate spline quasi-interpolants and applications to numerical analysis

Cited in

(8)

• A quintic spline collocation method for solving time-dependent convection-diffusion problems
• A robust spline collocation method for pricing American put options
• Rational spectral collocation method for pricing American vanilla and butterfly spread options
• Pricing American bond options using a penalty method
• Game options approach in bankruptcy triggering asset value
• A numerical method for solving time-dependent convection-diffusion problems
• A new model for pricing the options in Islamic finance
• Lattice Boltzmann method for the linear complementarity problem arising from American option pricing

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