Numerical Algorithm to Value American Call Option

Authors

Presenter(s)

Junyao Zhang

Files

Description

A numerical algorithm is developed to produce a numerical solution of a boundary value problem for the Black-Scholes partial differential equation on a certain region that includes a free boundary. In this algorithm, an artificial boundary is introduced and a method to find the free boundary is developed. This algorithm is introduced by H. Han and X.Wu, A Fast Numerical Method for the Black-Scholes Equation of American Option, SIAM J. Numer. Anal., 41 (2003), pp. 2081-2095.

Publication Date

4-18-2012

Project Designation

Graduate Research

Primary Advisor

Paul W. Eloe

Primary Advisor's Department

Mathematics

Keywords

Stander Symposium project

Recommended Citation

"Numerical Algorithm to Value American Call Option" (2012). Stander Symposium Projects. 187.
https://ecommons.udayton.edu/stander_posters/187