A Numerical Computation to the American Option Pricing via the Discrete Morse Flow

DOI

Abstract

A minimizing method for calculating the American call option is developed. The American option pricing is a heat type obstacle problem but it contains some di.culties on the initial condition. In spite of these di.culties, the discrete Morse semi.ow which is a minimizing scheme via the time semidiscretized variational functional, works well. The derivative of the solution is also useful for determining the precise position of the free boundary.

Journal

Details 詳細情報について

  • CRID
    1390001205211585664
  • NII Article ID
    130004463535
  • DOI
    10.11345/nctam.52.261
  • ISSN
    13494244
    13480693
  • Text Lang
    en
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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