کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4634342 | 1631836 | 2008 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Variational inequalities applied to option market problem
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Variational inequalities applied to option market problem Variational inequalities applied to option market problem](/preview/png/4634342.png)
چکیده انگلیسی
Since the classic work of Black and Scholes [F. Black, M. Scholes, The pricing of options and corporate liabilities, J. Polit. Econ. 81 (1973) 354–637] many techniques to calculate the value of European option have been developed. When we are interested in assessing the American option, these techniques must change to adapt to the early exercise possibility. To solve the American options problem, we obtain an inequality variational system and use numerical methods over it. This work aims to get the put American option price using the finite elements method and finite differences method. Numerical results are presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 201, Issues 1–2, 15 July 2008, Pages 384–397
Journal: Applied Mathematics and Computation - Volume 201, Issues 1–2, 15 July 2008, Pages 384–397
نویسندگان
V.P. Israel, M.A. Rincon,