Efficient numerical pricing of American options based on multiple shooting method: a PDE approach-Reference-Cited by-同舟云学术

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Efficient numerical pricing of American options based on multiple shooting method: a PDE approach

Published:2022-03-30 Issue: Volume: Page:1-20
ISSN:0003-6811
Container-title:Applicable Analysis
language:en
Short-container-title:Applicable Analysis

Author:

Abdi-Mazraeh Somayeh¹,Irandoust-Pakchin Safar¹,Rezapour Shahram²³

Affiliation:

1. Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran

2. Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran

3. Department of Medical Research, China Medical University Hospital, China Medical University, Taichung, Taiwan

Funder

University of Tabriz

Publisher

Informa UK Limited

Subject

Applied Mathematics,Analysis

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036811.2022.2057306

Reference60 articles.

1. The Pricing of Options and Corporate Liabilities

2. Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley

3. An explicit series approximation to the optimal exercise boundary of American put options

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