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American option valuation under stochastic interest rates

Chung, San-Lin - In: Review of Derivatives Research 3 (2000) 3, pp. 283-307

) method, this paper provides analytic solutions for the valuation and hedging of American options in a stochastic interest …

Persistent link: https://www.econbiz.de/10005678297

On the efficient application of the repeated Richardson extrapolation technique to option pricing

Barzanti, Luca; Corradi, Corrado; Nardon, Martina - Dipartimento di Matematica Applicata, Università Ca' … - 2006

several numerical schemes for the valuation of American options and investigate the possibility of an appropriate application …

Persistent link: https://www.econbiz.de/10005756568

Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium

Ibáñez, Alfredo - In: Management Science 49 (2003) 9, pp. 1210-1228

This paper presents a detailed analysis of the numerical implementation of the American put option decomposition into an equivalent European option plus an early exercise premium (Kim 1990, Jacka 1991, Carr et al. 1992). It subsequently introduces a new algorithm based upon this decomposition...

Persistent link: https://www.econbiz.de/10009214128

On the analytical-numerical valuation of the Bermudan and American options

Prekopa, Andras; Szántai, Tamás - In: Quantitative Finance 10 (2010) 1, pp. 59-74

American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form … functions and the latters are used to predict the values of the American options. Numerical results are presented and compared …

Persistent link: https://www.econbiz.de/10008609632

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406

of true American option values, as well as determining the number of options needed for an approximation to achieve a …

Persistent link: https://www.econbiz.de/10010867627

Efficient exponential compact higher order difference scheme for convection dominated problems

Mishra, Nachiketa; Yedida, Sanyasiraju V.S.S. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 4, pp. 617-628

Present work is the development of a finite difference scheme based on Richardson extrapolation technique. It gives an exponential compact higher order scheme (ECHOS) for two-dimensional linear convection-diffusion equations (CDE). It uses a compact nine point stencil, over which the governing...

Persistent link: https://www.econbiz.de/10010870443

Computational fluid dynamics (CFD) mesh independency techniques for a straight blade vertical axis wind turbine

Almohammadi, K.M.; Ingham, D.B.; Ma, L.; Pourkashan, M. - In: Energy 58 (2013) C, pp. 483-493

This paper numerically investigates four methods, namely mesh refinement, General Richardson Extrapolation (GRE), Grid Convergence Index (GCI), and the fitting method, in order to obtain a mesh independent solution for a straight blade vertical axis wind turbine (SB-VAWT) power curve using...

Persistent link: https://www.econbiz.de/10011055196

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702

Enhancing finite difference approximations for double barrier options : mesh optimization and repeated Richardson extrapolation

Ballestra, Luca Vincenzo - In: Computational management science 18 (2021) 2, pp. 239-263

Persistent link: https://www.econbiz.de/10012543403

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473

Persistent link: https://www.econbiz.de/10012295614