A Novel Numerical Method for Pricing American Put Options

摘要：

　　The aim of this paper is to solve a free boundary problem arising in pricing Americanput options.It is known that the free boundary (optimal exercise boundary) satises a ”nonstandard” Volterra integral equation.This Volterra integral equation is resolved by a high-order collocation method based on graded meshes.Then the value of Americanput option is obtained by solving a Black-Scholes equation in the semi-interval with the computed free boundary and the infinite boundary by a moving mesh method.A feasible time-dependent artificial boundary is constructed to fulfil the solution process.Numerical examples are provided to show the efficiency of the approach.

关键词： American put options optimal exercise boundary collocation methods integral equations

作者: Jingtang Ma Yingjun Jiang Kaili Xiang

作者单位: School of Economic Mathematics,Southwestern University of Finance and Economics,Chengdu,611130,China Department of Mathematics and Scientific Computing,Changsha University of Science and Technology,Cha

会议类型: 国内会议

会议名称: 第六届中国金融学年会

会议地点: 成都

会议语种:英文

页码: 1-15

在线出版日期: 2009-10-31（万方平台首次上网日期，不代表论文的发表时间）