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Application of the Singularity-Separating Method to American Exotic Option Pricing

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Abstract

This paper is devoted to numerical methods for American barrier and lookback options, which are important examples of American exotic options. Since the singularity-separating method is adopted, accurate numerical results can be obtained very fast.

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References

  1. A. Conze and Viswanathan, Path dependent options: The case of lookback options, J. Finance 46(5) (1991) 1893–1907.

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  4. Y.-I. Zhu, X. Wu and I.-L. Chern, Derivative securities and finite difference methods, to appear.

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Authors and Affiliations

  1. Department of Mathematics, University of North Carolina at Charlotte, NC, USA

    You-lan Zhu

  2. Academia Sinica, Institute of Computational Mathematics & Scientific/Engineering Computation, Beijing, China

    Bin-mu Chen

  3. Enron Capital & Trade Resources Corp., Houston, TX, USA

    Hongliang Ren

  4. Software Resources of NJ, 114 Broad Street, Flemington, NJ, USA

    Hanping Xu

Authors
  1. You-lan Zhu
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  2. Bin-mu Chen
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  3. Hongliang Ren
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  4. Hanping Xu
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Zhu, Yl., Chen, Bm., Ren, H. et al. Application of the Singularity-Separating Method to American Exotic Option Pricing. Advances in Computational Mathematics 19, 147–158 (2003). https://doi.org/10.1023/A:1022835722199

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  • DOI: https://doi.org/10.1023/A:1022835722199

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