This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer calculations rather than other previously described methods.
An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options / Veliu, Denis; DE MARCHIS, Roberto; Marino, Mario; Martire, ANTONIO LUCIANO. - In: MATHEMATICS. - ISSN 2227-7390. - 11:187(2023). [10.3390/math11010187]
An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options
Denis Veliu;Roberto De Marchis;Mario Marino;Antonio Luciano Martire
2023
Abstract
This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer calculations rather than other previously described methods.File allegati a questo prodotto
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