American Puts and Calls

Gunter H. Meyer

Chapter 5 in The Time-Discrete Method of Lines for Options and Bonds:A PDE Approach, 2015, pp 117-151 from World Scientific Publishing Co. Pte. Ltd.

Abstract: As outlined in Chapter 3 the method of lines approximation and the sweep method for its solution are only marginally affected by the early exercise feature of American options. We shall solve some representative American option problems to illustrate the application of the method of lines and its numerical performance.

Keywords: Options; Bonds; PDE Formulation; Numerical Solution; Method of Lines; Stochastic Volatility; Jump Diffusion; Uncertain Parameters (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814619684_0005 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814619684_0005 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814619684_0005

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().