Application of the singularity-separating method to American exotic option pricing

被引：9
|
作者：
Zhu, YL
Chen, BM
Ren, HL
Xu, HP
机构：
[1] Univ N Carolina, Dept Math, Charlotte, NC 28223 USA
[2] Acad Sinica, Inst Computat Math & Sci Engn Computat, Beijing, Peoples R China
[3] Enron Capital & Trade Resources Corp, Houston, TX USA
[4] Software Resources NJ, Flemington, NJ USA
来源：
ADVANCES IN COMPUTATIONAL MATHEMATICS | 2003年 / 19卷 / 1-3期
关键词：
computational finance; finite difference methods; American option pricing;
D O I：
10.1023/A:1022835722199
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is devoted to numerical methods for American barrier and lookback options, which are important examples of American exotic options. Since the singularity-separating method is adopted, accurate numerical results can be obtained very fast.
引用
收藏
页码：147 / 158
页数：12
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