A Green's function-based iterative approach to the pricing of American options

MaRDI QIDQ5506149zbMATH OpenFDO

Authors Max Y. Melnikov

Publication date 28 January 2009

zbMATH Keywords

American optionsGreen's functioniterative approach

Mathematics Subject Classification ID

Integral representations of solutions to PDEs (35C15) Initial-boundary value problems for second-order parabolic systems (35K51) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• Pricing options with Green's functions when volatility, interest rate and barriers depend on time
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• An iterative method for pricing American options under jump-diffusion models

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