This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer calculations rather than other previously described methods.

Veliu, D., De Marchis, R., Marino, M., Martire, A.L. (2023). An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options. MATHEMATICS, 11(1) [10.3390/math11010187].

An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options

Antonio Luciano Martire
2023-01-01

Abstract

This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer calculations rather than other previously described methods.
Veliu, D., De Marchis, R., Marino, M., Martire, A.L. (2023). An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options. MATHEMATICS, 11(1) [10.3390/math11010187].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/426194
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