A new predictor-corrector scheme for valuing American puts
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Publication:620987
DOI10.1016/J.AMC.2010.10.044zbMATH Open1237.91236OpenAlexW2035981590MaRDI QIDQ620987FDOQ620987
Publication date: 2 February 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.10.044
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- The pricing of options and corporate liabilities
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- Option pricing: A simplified approach
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An exact and explicit solution for the valuation of American put options
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- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Approximations for the values of american options
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- CRITICAL STOCK PRICE NEAR EXPIRATION
- Front-tracking finite difference methods for the valuation of American options
- A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
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- Financial Applications of Symbolically Generated Compact Finite Difference Formulae
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- The K-Operator and the Galerkin Method for Strongly Elliptic Equations on Smooth Curves: Local Estimates
- Local Error Estimates for the Galerkin Method Applied to Strongly Elliptic Integral Equations on Open Curves
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Cited In (11)
- Approximation of American put prices by European prices via an embedding method.
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- A simple numerical method for pricing an American put option
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Predictor-corrector balance method for the worst-case 1D option pricing
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- An efficient computational algorithm for pricing European, barrier and American options
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- A HODIE finite difference scheme for pricing American options
- Stock loan valuation under a stochastic interest rate model
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