A fast and highly accurate numerical method for the evaluation of Americanoptions

Authors
Allegretto, W Lin, YP Yang, HT
Citation
W. Allegretto et al., A fast and highly accurate numerical method for the evaluation of Americanoptions, DYN CONT B, 8(1), 2001, pp. 127-138
Citations number
22
Categorie Soggetti
Engineering Mathematics
Journal title
DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS
ISSN journal
12013390 → ACNP
Volume
8
Issue
1
Year of publication
2001
Pages
127 - 138
Database
ISI
SICI code
1201-3390(200103)8:1<127:AFAHAN>2.0.ZU;2-R
Abstract
We introduce a novel practical approach to the valuation of American option s which involves the exact reformulation of the problems and numerical solu tions over very small regions. Numerical examples and analysis show that ou r algorithm leads to very rapid and accurate results.