A method-of-lines approach for solving American option problems

DOI10.11650/TJM/181010zbMATH Open1428.91018OpenAlexW2900133269WikidataQ128993402 ScholiaQ128993402MaRDI QIDQ2332986FDOQ2332986

Chih-Yuan Tien, Tzyy-Leng Horng, Min-Sun Horng

Publication date: 6 November 2019

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

Full work available at URL: https://projecteuclid.org/euclid.twjm/1541667765

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zbMATH Keywords

American optionfinite difference methodmethod of linesAmerican strangle optioncallable and putable convertible bondtwo-factor American basket put option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Variational inequalities and the pricing of American options
• Penalty methods for the numerical solution of American multi-asset option problems
• Evaluation of American strangles
• A 3(2) pair of Runge-Kutta formulas
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Optimization via simulation: A review
• A finite element method for two factor convertible bonds

Cited In (3)

• Title not available (Why is that?)
• Pricing the American options: a closed-form, simple formula
• A NOVEL NUMERICAL APPROACH OF COMPUTING AMERICAN OPTION

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