A New Numerical Technique for the Option Pricing Problem of American Type

机译：美式期权定价问题的一种新数值技术

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摘要

Fixed domain method is applied to valuate the option within the Black-Scholes-Merton model, which involves the free boundary. Our intention is to present a powerful numerical technique for implementing the option pricing problem. Unexpected behaviors are observed.

机译：应用固定域方法来评估Black-Scholes-Merton模型中涉及自由边界的选项。我们的目的是提供一种强大的数值技术来实施期权定价问题。观察到意外的行为。

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《World Multiconference on Systemics, Cybernetics and Informatics(SCI 2001) v.2: Information Systems; 20010722-20010725; Orlando,FL; US》|2001年|P.233-236|共4页
会议地点 Orlando FL(US);Orlando FL(US);Orlando FL(US);Orlando FL(US)
作者
Toshiki TAKEUCHI; Naoyuki ISHIMURA; Hitoshi IMAI;
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作者单位

Department of Applied Physics and Mathematics Faculty of Engineering, University of Tokushima, Tokushima 770-8506, Japan;

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会议组织
原文格式 PDF
正文语种 eng
中图分类计算技术、计算机技术;
关键词
black-scholes-merton model; option pricing; american put options; free boundary problems; fixed domain method; numerical computation;

机译：布莱克－斯科尔斯－默顿模型；期权定价；美国看跌期权；自由边界问题；固定域方法；数值计算;

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4. A New Numerical Technique for the Option Pricing Problem of American Type [C] . Toshiki TAKEUCHI, Naoyuki ISHIMURA, Hitoshi IMAI World multiconference on systemics, cybernetics and informatics . 2001

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A New Numerical Technique for the Option Pricing Problem of American Type

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