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On the Use of Policy Iteration as an Easy Way of Pricing American Options
American Option Linear Complementarity Problem
2011/3/4
Finite dierence or nite element approximations of the value function of an American option usually result in discrete linear complementarity problems (LCP).
American Step-Up and Step-Down Credit Default Swaps under Levy Models
optimal stopping credit default swaps step-up and step-down options
2011/3/2
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded
option to switch to a different premium and notional principal anytime prior to a credit event.
On backward stochastic differential equations approach to valuation of American options
Backward stochastic differential equation Obstacle problem American option
2011/2/24
We consider the problem of valuation of American (call and put) options written on a dividend paying stock governed by the geometric Brownian motion. We show that the value function has two different ...
On a free boundary problem for an American put option under the CEV process
free boundary problem American put option CEV process
2010/12/7
We consider an American put option under the CEV process. This corre-sponds to a free boundary problem for a PDE. We show that this free boundary satises a nonlinear integral equation, and analyze it...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
option pricing American put option early exercise bound-ary limiting behavior close to expiry
2010/4/27
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put...