On Precise Integration Method for American Options

摘要：

In this paper,an algorithm for numerical solutions of American option models is presented in terms of the precision integration.We discretize the space variable employing finite differences appropriately SO that the resulting semi-discrete system of equations is a system of ordinary differential equation,and then we apply precise integration method to the semi-discrete system,and analyze errors of the method.Numerical results show that the proposed algorithm is practicable and efficient.

关键词： Finite difference Precise Integration Option

作者: YONG WU NA LIU LINHUA ZHANG

会议类型: 国际会议

会议名称: The International Conference Information Computing and Automation(2007国际信息计算与自动化会议)

会议地点: 成都

会议语种:英文

页码: 449-451

在线出版日期: 2007-12-19（万方平台首次上网日期，不代表论文的发表时间）