A Front-Fixing Based HOC Scheme for Pricing American Options with a High-Order Treatment to the Boundary

摘要：

　　We enhance D.Y.Tangman et.als work(D.Y.Tangman,A.Gopaul,M.Bhuruth.2008.“Numerical pricing of options using high-order compact finite difference schemes, Journal of Computational and Applied Mathematics,218:270-280)by employing a high-order treatment to the optimal exercise boundary.In our approach,both two-and three-order finite difference methods are used to approximate the fictitious points assumed to equal the transformed payoff function in D.Y.Tangman et.als,respectively.Besides,the Newtons iteration is only applied to solve the boundary,thus reducing significantly the complexity of deriving the HOCJ scheme while keeping the accuracy.Numerical experiments shows that our approaches have a higher accuracy and faster convergence than D.Y.Tangmans.

作者: GUOYA ZHANG YOUFA SUN LUTAO DING 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）