A Numerical Computation to the American Option Pricing via the Discrete Morse Flow
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- OMATA Seiro
- Faculty of Science, Kanazawa University
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- IWASAKI Hiroshi
- Faculty of Science, Kanazawa University
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- NAKANE Kazuaki
- Osaka Institute of Technology
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- XIONG Xiaohua
- Faculty of Science, Kanazawa University
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- SAKUMA Mitsuoku
- Faculty of Science, Kanazawa University
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
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- Theoretical and Applied Mechanics Japan
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Theoretical and Applied Mechanics Japan 52 (0), 261-266, 2003
National Committee for IUTAM
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Details 詳細情報について
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- CRID
- 1390001205211585664
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- NII Article ID
- 130004463535
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- ISSN
- 13494244
- 13480693
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- Text Lang
- en
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- Data Source
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- JaLC
- CiNii Articles
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- Abstract License Flag
- Disallowed