کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10482325 933412 2005 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hints for an extension of the early exercise premium formula for American options
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Hints for an extension of the early exercise premium formula for American options
چکیده انگلیسی
There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension of the American put price aiming to catch weaknesses of the numerical methods based on their non-fulfillment of the smooth pasting condition.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 152-157
نویسندگان
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