A Simple Numerical Method for Pricing an American Put Option

被引：15
|
作者：
Kim, Beom Jin [1 ]
Ma, Yong-Ki [2 ]
Choe, Hi Jun [1 ]
机构：
[1] Yonsei Univ, Dept Math, Seoul 120749, South Korea
[2] Kongju Natl Univ, Dept Appl Math, Kong Ju 314701, South Korea
来源：
JOURNAL OF APPLIED MATHEMATICS | 2013年
基金：
新加坡国家研究基金会;
关键词：
FREE-BOUNDARY; EXERCISE BOUNDARY; APPROXIMATION; VALUATION;
D O I：
10.1155/2013/128025
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary. Employing it, we can easily determine the optimal exercise boundary by solving a quadratic equation in time-recursive way. We also present several numerical results which illustrate a comparison to other methods.
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收藏
页数：7
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