Optimal exercise boundary via intermediate function with jump risk

DOI10.1007/s13160-017-0261-0zbMath1411.91623OpenAlexW2733684988MaRDI QIDQ1684772

Beom Jin Kim, Yong-Ki Ma, Hi Jun Choe

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0261-0

zbMATH Keywords

jump riskAmerican put optionoptimal exercise boundaryintermediate function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options

Cites Work

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• Accurate Evaluation of European and American Options Under the CGMY Process
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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