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.

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

Mario Marino;
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.
2023
29-dic-2022
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3037101
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