Option valuation by using discrete singular convolution

Applied Mathematics and Computation

Volumn 167, Issue 1, 2005, Pages 383-418

  Zhao, Shan ^a   Wei, G W ^a,b  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b Michigan State University   (United States)

Author keywords

Adaptive mesh; American option valuation; Discrete singular convolution; Optimal exercise boundary; Option pricing

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; FINITE DIFFERENCE METHOD; TREES (MATHEMATICS);

ADAPTIVE MESH; AMERICAN OPTION VALUATION; DISCRETE SINGULAR CONVOLUTION; OPTIMAL EXERCISE BOUNDARY; OPTION PRICING;

ALGORITHMS;

EID: 24944468224     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2004.07.010     Document Type: Article

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