Year: 2018
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 1 : pp. 126–138
Abstract
American put options on a zero-coupon bond problem is reformulated as a linear complementarity problem of the option value and approximated by a nonlinear partial differential equation. The equation is solved by an exponential time differencing method combined with a barycentric Legendre interpolation and the Krylov projection algorithm. Numerical examples shows the stability and good accuracy of the method.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/eajam.170516.201017a
East Asian Journal on Applied Mathematics, Vol. 8 (2018), Iss. 1 : pp. 126–138
Published online: 2018-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 13
Keywords: Interest rate model American put bond options zero-coupon bond barycentric Legendre method Greeks.
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