The numerical solution of the American option pricing problem: Finite difference and transform approaches

Chiarella, C; Kang, B; Meyer, GH

The numerical solution of the American option pricing problem: Finite difference and transform approaches

Chiarella, C Kang, B Meyer, GH

Permalink

Publication Type:: Book
Citation:: 2014, pp. 1 - 212
Issue Date:: 2014-01-01

Closed Access

	Filename	Description	Size
	ChiarellaBook.pdf	Published version	18.22 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	Kang, B	en_US
dc.contributor.author	Meyer, GH	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	2014, pp. 1 - 212	en_US
dc.identifier.isbn	9789814452618	en_US
dc.identifier.uri	http://hdl.handle.net/10453/34265
dc.description.abstract	© 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers’ experiences with these approaches over the years.	en_US
dc.relation.isbasedon	10.1142/9789814452625	en_US
dc.title	The numerical solution of the American option pricing problem: Finite difference and transform approaches	en_US
dc.type	Book
utslib.for	010205 Financial Mathematics	en_US
utslib.for	010302 Numerical Solution of Differential and Integral Equations	en_US
utslib.for	010401 Applied Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US

Abstract:

© 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers’ experiences with these approaches over the years.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/34265