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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 "...
- 913
2
votes
1
answer
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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 ...
- 525
2
votes
1
answer
638
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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 ...
- 503