Abstract
We introduce a novel practical approach to the valuation of American options which involves the exact reformulation of the problems and numerical solutions over very small regions. Numerical examples and analysis show that our algorithm leads to very rapid and accurate results.
| Original language | English |
|---|---|
| Pages (from-to) | 127-138 |
| Number of pages | 12 |
| Journal | Dynamics of Continuous, Discrete and Impulsive Systems Series B: Application and Algorithm |
| Volume | 8 |
| Issue number | 1 |
| Publication status | Published - 1 Mar 2001 |
| Externally published | Yes |
Keywords
- American option
- Error estimate
- Finite element method
- Integral boundary condition
- Variational inequality
ASJC Scopus subject areas
- Discrete Mathematics and Combinatorics
- Applied Mathematics