Fast and accurate calculation of American option prices View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-11

AUTHORS

Luca Vincenzo Ballestra

ABSTRACT

We propose a very efficient numerical method to solve a nonlinear partial differential problem that is encountered in the pricing of American options. In particular, by using the front-fixing approach originally developed in Wu and Kwok (J Financ Eng 6:83–97, 1997) and Nielsen et al. (J Comput Finance 5:69–97, 2002) in conjunction with a suitable change of the time variable, a (nonlinear) partial differential problem is obtained which can be solved very efficiently by means of a finite difference scheme enhanced by repeated Richardson extrapolation. Numerical results are presented showing that the novel algorithm yields excellent results, and performs significantly better than a finite different method with Bermudan approximation. More... »

PAGES

1-28

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URI

http://scigraph.springernature.com/pub.10.1007/s10203-018-0224-1

DOI

http://dx.doi.org/10.1007/s10203-018-0224-1

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1110065100


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