Computation and sensitivity analysis of the pricing of American call options

DOI10.1016/J.AMC.2005.09.044MaRDI QIDQ2493775zbMATH OpenOpenAlexFDO

Authors D. Constales, Jozef Kacur

Publication date 16 June 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.09.044

zbMATH Keywords

American call optionsBlack-Scholes modelfree boundary problem

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Numerical methods for partial differential equations, boundary value problems (65N99)

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Cites work

• Automatic Selection of Methods for Solving Stiff and Nonstiff Systems of Ordinary Differential Equations
• scientific article; zbMATH DE number 1332331 (Why is no real title available?)
• On the solution of inverse problems for generalized oxygen consumption.
• Option pricing when underlying stock returns are discontinuous
• Some mathematical results in the pricing of American options
• The pricing of options and corporate liabilities

Cited in

(7)

• An upwind approach for an American and European option pricing model
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• scientific article; zbMATH DE number 6613079 (Why is no real title available?)
• A Numerical Approach for the American Call Option Pricing Model
• Sensitivity analysis of partial derivatives of an European option pricing model
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS
• On the computation of option prices and sensitivities in the Black-Scholes-Merton model

Describes a project that uses

Uses Software

• LSODA
• ODEPACK

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