Introduction

Carl Chiarella, Boda Kang and Gunter H. Meyer

Chapter 1 in The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches, 2014, pp 1-2 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The American option pricing problem has been explored in great depth in the option pricing literature. The survey by Barone-Adesi (2005) provides an overview of this research for the case of the American put under the classical Brownian motion process for asset returns…

Keywords: American Option; Early Exercise; Method of Lines; Finite Difference Approach; Integral Transform Approach; Numerical Methods (search for similar items in EconPapers)
Date: 2014
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