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On convergence of a semi-analytical method for American option pricing

文献类型：期刊论文

作者Deng, XT; Gu, YG; Wang, SY; Zhang, SM
刊名JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
出版日期2006
卷号313期号:1页码:353-365
关键词American option free boundary prior estimate semi-analytic method convergence
ISSN号0022-247X
DOI10.1016/j.jmaa.2005.09.020
英文摘要We examine the valuation of American put options by a semi-analytical method, and obtain the prior estimate and the convergence of the approximate solution. Our proofs are based on the embedding theorem in Sobolev space and the theory of functional analysis, in particular, the theory of weak compactness. The results in this paper theoretically confirm empirical observations that these methods are accurate and computationally efficient. (c) 2005 Elsevier Inc. All rights reserved.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000233466600024
出版者ACADEMIC PRESS INC ELSEVIER SCIENCE
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/2434]  
专题中国科学院数学与系统科学研究院
通讯作者Zhang, SM
作者单位1.Univ Western Ontario, Dept Econ, London, ON N6A 5C2, Canada
2.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
3.Hunan Normal Univ, Dept Math, Changsha 410081, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Deng, XT,Gu, YG,Wang, SY,et al. On convergence of a semi-analytical method for American option pricing[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS,2006,313(1):353-365.
APA Deng, XT,Gu, YG,Wang, SY,&Zhang, SM.(2006).On convergence of a semi-analytical method for American option pricing.JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS,313(1),353-365.
MLA Deng, XT,et al."On convergence of a semi-analytical method for American option pricing".JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS 313.1(2006):353-365.

入库方式： OAI收割

来源：数学与系统科学研究院

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