A second-order Nyström-type discretization for the early-exercise curve of American put options

DOI10.1080/00207160802578347zbMATH Open1163.91402OpenAlexW2114990871MaRDI QIDQ3636734FDOQ3636734

Authors: Pascal Heider 

Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802578347

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zbMATH Keywords

integral equationAmerican optionstrapezoidal ruleearly-exercise curvesecond-order Nyström method

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Acceleration of convergence in numerical analysis (65B99)

Cites Work

• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Title not available (Why is that?)
• On optimal stopping and free boundary problems
• Tools for computational finance.
• On the Early Exercise Boundary of the American Put Option
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal exercise boundary for an American put option
• American options on assets with dividends near expiry

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