An iteration procedure for solving integral equations related to the American put options
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 1105 | |
| dc.contributor.author | Belomestny, Denis | |
| dc.contributor.author | Gapeev, Pavel | |
| dc.date.accessioned | 2016-12-15T22:47:02Z | |
| dc.date.available | 2019-06-28T08:18:02Z | |
| dc.date.issued | 2006 | |
| dc.description.abstract | A new algorithm for pricing American put option in the Black-Scholes model is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation converges in a finite number of steps and delivers in each step a lower or an upper bound for the price of discretized option on the whole time interval. The method developed can be easily implemented and carried over to the case of more general optimal stopping problems. | eng |
| dc.description.version | publishedVersion | eng |
| dc.format | application/pdf | |
| dc.identifier.issn | 0946-8633 | |
| dc.identifier.uri | https://doi.org/10.34657/1962 | |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/3154 | |
| dc.language.iso | eng | eng |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
| dc.relation.issn | 0946-8633 | eng |
| dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
| dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
| dc.subject.ddc | 510 | eng |
| dc.subject.other | American put action | eng |
| dc.subject.other | Black-Scholes model | eng |
| dc.subject.other | optimal stopping | eng |
| dc.subject.other | Picard iterations | eng |
| dc.subject.other | upper and lower bounds | eng |
| dc.title | An iteration procedure for solving integral equations related to the American put options | eng |
| dc.type | Report | eng |
| dc.type | Text | eng |
| tib.accessRights | openAccess | eng |
| wgl.contributor | WIAS | eng |
| wgl.subject | Mathematik | eng |
| wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- 517904551.pdf
- Size:
- 214.33 KB
- Format:
- Adobe Portable Document Format
- Description: