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数学学院、所系列学术报告(811场):台湾逢甲大學 洪子伦教授

发表于: 2018-07-06 10:10  点击:

题  目:American Options Valuation: A Parsimoniously Numerical Approach
报告人:台湾逢甲大學 洪子伦教授
时  间:2018年7月11日 15:00-16:00
地  点:数学楼三楼会议室

Abstract:The early exercise property of American option changes the original Black-Scholes equation to an inequality that cannot be solved via traditional finite difference method. Therefore, finding the early ex- ercise boundary prior to spatial discretization is a must in each time step. This overhead slows down the computation and the accuracy of solution relies on if the early exercise boundary can be accurately located. A sim- ple numerical method based on finite difference and method of lines is proposed here to overcome this difficulty in American option valuation. Our method averts the otherwise necessary procedure of locating the op- timal exercise boundary before applying finite difference discretization. The method is efficient and flexible to all kinds of pay-off. Computa- tions of American put, American call with dividend, American strangle, two-factor American basket put option, and two-factor convertible bond with embedded call and put options are demonstrated to show the effi- ciency of the current method.