A novel approach to the valuation of American options

Walter Allegretto; Yanping Lin; Hongtao Yang

doi:10.1016/S1044-0283(02)00036-4

A novel approach to the valuation of American options

Walter Allegretto, Yanping Lin, Hongtao Yang

Research output: Journal article publication › Journal article › Academic research › peer-review

2 Citations (Scopus)

Abstract

We introduce a practical numerical method to the valuation of American options. The new feature is the exact reformulation of the problems over very small regions. Numerical examples and analyses show that our algorithm leads to very fast and highly accurate results.

Original language	English
Pages (from-to)	17-28
Number of pages	12
Journal	Global Finance Journal
Volume	13
Issue number	1
DOIs	https://doi.org/10.1016/S1044-0283(02)00036-4
Publication status	Published - 1 Jan 2002
Externally published	Yes

Keywords

American options
Finite element methods
Variational inequality

ASJC Scopus subject areas

Finance
Economics and Econometrics

More information

10.1016/S1044-0283(02)00036-4

Cite this

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title = "A novel approach to the valuation of American options",

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KW - Variational inequality

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A novel approach to the valuation of American options

Abstract

Keywords

ASJC Scopus subject areas

More information

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