Add to ORKGWe study the Black-Scholes model for American options with dividends. We cast the problem as a free-boundary problem for heat equations and use transformations to rewrite the problem in linear complementarity form. We use explicit and implicit finite difference methods to obtain numerical solutions. We implement and test the methods on a particular example in MATLAB. The effects of dividend payments on option pricing are also considered
AbstractA compact finite difference method is designed to obtain quick and accurate solutions to par...
© 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. The early exercise opportun...
This paper presents finite difference methods for options pricing. These methods are useful to solve...
We study the Black-Scholes model for American options with dividends. We cast the problem as a free-...
This paper presents an explicit finite-difference method for nonlinear partial differential equation...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
The early exercise property of American options changes the original Black-Scholes equation to an in...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
[EN] In this paper finite difference methods for pricing American option with rationality parameter ...
In this master thesis we have examined the possibility of pricing multiple American options, on an u...
The finite difference method is a mathematical construct that can be used to solve partial different...
In this work we improve the algorithm of Han and Wu (SIAM J. Numer. Anal. 41 (2003), 2081-2095) for ...
The variational inequality formulation provides a mechanism to determine both the option value and t...
In this paper we develop a numerical approach to a fractional-order differential Linear Complementar...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio t...
AbstractA compact finite difference method is designed to obtain quick and accurate solutions to par...
© 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. The early exercise opportun...
This paper presents finite difference methods for options pricing. These methods are useful to solve...
We study the Black-Scholes model for American options with dividends. We cast the problem as a free-...
This paper presents an explicit finite-difference method for nonlinear partial differential equation...
The thesis on option pricing by finite difference methods focuses on the numerical methods used to p...
The early exercise property of American options changes the original Black-Scholes equation to an in...
The main topic of this thesis is the analysis of finite differences and multigrid methods for the so...
[EN] In this paper finite difference methods for pricing American option with rationality parameter ...
In this master thesis we have examined the possibility of pricing multiple American options, on an u...
The finite difference method is a mathematical construct that can be used to solve partial different...
In this work we improve the algorithm of Han and Wu (SIAM J. Numer. Anal. 41 (2003), 2081-2095) for ...
The variational inequality formulation provides a mechanism to determine both the option value and t...
In this paper we develop a numerical approach to a fractional-order differential Linear Complementar...
Due to transaction costs, illiquid markets, large investors or risks from an unprotected portfolio t...
AbstractA compact finite difference method is designed to obtain quick and accurate solutions to par...
© 2015 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. The early exercise opportun...
This paper presents finite difference methods for options pricing. These methods are useful to solve...