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Finite difference methods for (continuously) strike-resettable American options

For simplicity, let us consider an American call/put with a continuously resettable strike price. Current time is $t=0$, maturity is at $t=T$, and the initial strike is $K_0$. We consider a "...
2
votes
0answers
34 views

American-Bermudan-Asian option fixed strike using finite differences

I'm trying to price the same American-Bermudan-Asian option described in Longstaff Schwartz (2001). Specifically, using finite difference methods with an explicit scheme to solve $\begin{aligned} \...
2
votes
1answer
413 views

Brennan-Schwartz algorithm for pricing American options

I'm reading Pricing American Options using LU decomposition by Ikonen and Toivanen (IT). They reference The valuation of American put options by Brennan and Schwartz, and cast it as method that uses ...
1
vote
1answer
203 views

Pricing an American derivative with finite differences

I have a basic fundamental question on pricing an American option in the Black-Scholes (BS) framework: I seem to confuse two different approaches to price any early exercise, Write down a linear ...
1
vote
2answers
425 views

Full value function of an American option with QuantLib FD

I am looking at the Equity Option example of QuantLib: http://quantlib.org/reference/_equity_option_8cpp-example.html and more particularly the FDAmericanEngine. However, I am not interested in the ...
2
votes
1answer
218 views

pricing american put option with fdm

Assume I use some finite difference solver to solve for American type of exercise in BS framework where stock pays dividend discretely. Then at every time iteration, for call option, I firstly adjust ...