A Fast Algorithm for Solving the Pricing of American Options

摘要：

In this paper, we provide a fast algorithm for solving the pricing of American options, which is easier to apply and implement in computer comparing with general difference method. Our research substantially reduces the computational time as well as improves the computational efficiency and accuracy considerably. Furthermore, we propose and implement a numerical procedure for computing the pricing of American options. The algorithm of pricing American options proposed in this paper shows greater improvement over the traditional difference method. Also this method is useful to get other approximate solution on obstacle problem.

关键词： American options Finite difference method The region of the contact The obstacle problem Algorithm

作者: Xiaoyu Ren Shenghong Li Xinping Shao

作者单位: Department of Mathematics, Zhejiang University, Hangzhou, 310017, Zhejiang, P.R.China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 325-328

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）