On convergence of a semi-analytical method for American option pricing

被引：1

作者：

Deng, XT

Gu, YG

Wang, SY

Zhang, SM ^{[1
]}

机构：

[1] Univ Western Ontario, Dept Econ, London, ON N6A 5C2, Canada

[2] City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China

[3] Hunan Normal Univ, Dept Math, Changsha 410081, Peoples R China

[4] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2006年 / 313卷 / 01期

基金：

中国国家自然科学基金;

关键词：

American option; free boundary; prior estimate; semi-analytic method; convergence;

D O I：

10.1016/j.jmaa.2005.09.020

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We examine the valuation of American put options by a semi-analytical method, and obtain the prior estimate and the convergence of the approximate solution. Our proofs are based on the embedding theorem in Sobolev space and the theory of functional analysis, in particular, the theory of weak compactness. The results in this paper theoretically confirm empirical observations that these methods are accurate and computationally efficient. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：353 / 365

页数：13

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