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

DOI10.11650/TJM/181010MaRDI QIDQ2332986zbMATH OpenOpenAlexWikidataFDO

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

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

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)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A 3(2) pair of Runge-Kutta formulas
• A finite element method for two factor convertible bonds
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Evaluation of American strangles
• Optimization via simulation: A review
• Penalty methods for the numerical solution of American multi-asset option problems
• The pricing of options and corporate liabilities
• Variational inequalities and the pricing of American options

Cited in

(7)

• The numerical solution of the American option pricing problem. Finite difference and transform approaches
• The time-discrete method of lines for options and bonds. A PDE approach
• Pricing the American options: a closed-form, simple formula
• A NOVEL NUMERICAL APPROACH OF COMPUTING AMERICAN OPTION
• An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
• A survey on American options: old approaches and new trends
• Adaptive \(\theta \)-methods for pricing American options

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