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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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Two types of new methods with variable time steps are proposed in order to valuate binary options efficiently.
Type I changes adaptively the size of the time step at each time based on the magnitude of the local error,while Type II combines two uniform meshes.
The new methods are hybrid finite difference methods, namely starting the computation with a fully implicit finite difference method for a few time steps for accuracy then performing a $\theta$-method during the rest of computation for efficiency.
Numerical experiments for standard European vanilla, binary, and American options show that both Type I and II variable time step methods are much more efficient than the fully implicit method or hybrid methods with uniform time steps.
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참고문헌 (19)
참고문헌 신청
A. Q. M. Khaliq / 2008 / Adaptive θ-methods for pricing American options / J. Comput. Appl. Math 222 (1) : 210 ~ 227
D. J. Duffy / 2006 / Finite Difference Methods in Financial Engineering / John Wiley & Sons, Ltd
D. J. Higham / 2004 / An Introduction to Financial Option Valuation, Mathematics, stochastics and computation / Cambridge University Press
D. M. Pooley / 2003 / Convergence remedies for non-smooth payoffs in option pricing / The Journal of Computational Finance 6 : 25 ~ 40
D. Tavella / 2000 / Pricing Financial Instruments: The finite difference method / John Wiley & Sons
D. J. Duffy / 2006 / Finite Difference Methods in Financial Engineering / John Wiley & Sons, Ltd
D. J. Higham / 2004 / An Introduction to Financial Option Valuation, Mathematics, stochastics and computation / Cambridge University Press
D. M. Pooley / 2003 / Convergence remedies for non-smooth payoffs in option pricing / The Journal of Computational Finance 6 : 25 ~ 40
D. Tavella / 2000 / Pricing Financial Instruments: The finite difference method / John Wiley & Sons
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