A New High-Order Compact Finite Difference Scheme for American-Style Options:Partial HOCJ

摘要：

　　The paper presents a simple yet powerful numerical scheme,partial HOCJ(PHOCJ),for approximating the values of American put options.The new scheme,primarily based upon the high-order compact discretization of Jain(HOCJ)and front-fixing transformation,cancels temporarily the unknown boundary-dependent terms out to derive a compact scheme first and then reconsiders them to develop the final whole valuation scheme.By doing this,we successfully eliminate the inner non-linearity introduced by front-fixing transformation in our PHOCJ scheme,thus refraining from Newtons iterations.Numerical results show that under the same parameters settings,our PHOCJ scheme keeps a higher accuracy and faster convergence rate than both CN and HOCJ scheme.

作者: YOUFA SUN LUTAO DING GUOYA ZHANG SHUQI LI

作者单位: School of Management,Guangdong University of Technology,Guangzhou,China

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-7

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）