Institute of Information Theory and Automation

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Bibliography

Journal Article

An iterative two-step algorithm for American option pricing

Siddiqi A. H., Manchanda P., Kočvara Michal

: IMA Journal of Mathematics Applied in Business and Industry vol.11, 2 (2000), p. 71-84

: AV0Z1075907

: IAA1075707, GA AV ČR

: American option pricing, linear complementarity, iterative methods

(eng): In this paper we discuss the application of a very efficient algorithm proposed recently by Kočvara and Zowe to American option pricing. Modelling and numerical simulation of options depending on the history of underlying asset price, inflation and devaluation by evolution equations and inequalities with hysteresis are proposed.

: 05D, 12C

: AH

2019-01-07 08:39