کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4640139 | 1341262 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Evaluating American put options on zero-coupon bonds by a penalty method
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, American put options on zero-coupon bonds are priced under a single factor model of short-term rate. The linear complementarity problem of the option value is solved numerically by a penalty method, by which the problem is transformed into a nonlinear PDE by adding a power penalty term. The solution of the penalized problem converges to that of the original problem. A numerical scheme is established by using the finite volume method and the corresponding stability and convergence are discussed. Numerical results are presented to show the usefulness of the method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 13, 1 May 2011, Pages 3921–3931
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 13, 1 May 2011, Pages 3921–3931
نویسندگان
Hong Jun Zhou, Ka Fai Cedric Yiu, Leong Kwan Li,