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

doi:10.1016/j.jmaa.2005.09.020

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	On convergence of a semi-analytical method for American option pricing
	Deng, XT ; Gu, YG ; Wang, SY ; Zhang, SM
	2006
发表期刊	JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
ISSN	0022-247X
卷号	313 期号:1 页码:353-365
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.
关键词	American option free boundary prior estimate semi-analytic method convergence
DOI	10.1016/j.jmaa.2005.09.020
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000233466600024
出版者	ACADEMIC PRESS INC ELSEVIER SCIENCE
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2435
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.