A numerical study of the utility-indifference approach for pricing American options

DOI10.1016/j.camwa.2020.05.007zbMath1448.91326OpenAlexW3031661507MaRDI QIDQ2194809

Dong Yan, Xiaoping Lu, Song-Ping Zhu

Publication date: 7 September 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2020.05.007

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoption pricingfinite differencesconstant volatilityutility-based approach

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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Utility-indifference pricing of European options with proportional transaction costs

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
• European Option Pricing with Transaction Costs
• Simulations of transaction costs and optimal rehedging

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