American Style Derivatives

You-lan Zhu, Xiaonan Wu, I-Liang Chern and Zhi-zhong Sun
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You-lan Zhu: University of North Carolina
Xiaonan Wu: Hong Kong Baptist University
I-Liang Chern: National Taiwan University
Zhi-zhong Sun: Southeast University

Chapter 3 in Derivative Securities and Difference Methods, 2013, pp 105-157 from Springer

Abstract: Abstract In this Chapter, we will discuss that in order to find the value of an American style derivative, what kind of mathematical problems needs to be solved. When we have such discussions, we mainly take American options as examples. However the methods can be used for other American style derivatives.

Keywords: Free Boundary; Linear Complementarity Problem; Call Option; American Option; Dividend Yield (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-7306-0_3

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