Application of the singularity-separating method to American exotic option pricing
type: Item
instance of: scholarly article
title: Application of the singularity-separating method to American exotic option pricing
zbMATH Open document ID: 1042.91029
DOI: 10.1023/A:1022835722199
author: You-lan Zhu
author: Bin-mu Chen
author: Hongliang Ren
author: Hanping Xu
published in: Advances in Computational Mathematics
publication date: 2003-05-04T00:00:00Z
review text: It is known that the European down-and-out call option can be evaluated (solved) by solving a partial differential equation (PDE) with two boundary conditions. Indeed, the value of such an option can be represented in closed form. This paper develops a solution technique for the corresponding American option. Although no closed form solution to the resulting PDE exists, the option value is computable and some computational results are included.
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 1903992
zbMATH Keywords: computational finance
zbMATH Keywords: finite difference methods
zbMATH Keywords: American option pricing
zbMATH Keywords: European option
MaRDI profile type: Publication
full work available at URL: a:1022835722199
OpenAlex ID: W122990458
description: scientific article; zbMATH DE number 1903992