An iterative two-step algorithm for American option pricing.

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F00%3A16010008" target="_blank" >RIV/67985556:_____/00:16010008 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

An iterative two-step algorithm for American option pricing.

Original language description

In this paper we discuss the application of a very efficient algorithm proposed recently by Kočvara and Zowe to American option pricing. Modelling and numerical simulation of options depending on the history of underlying asset price, inflation and devaluation by evolution equations and inequalities with hysteresis are proposed.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

<a href="/en/project/IAA1075707" target="_blank" >IAA1075707: Nonsmooth analysis in problems of continuum mechanics</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2000

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

IMA Journal of Mathematics Applied in Business and Industry

ISSN

1471-678X

e-ISSN

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Volume of the periodical

11

Issue of the periodical within the volume

2

Country of publishing house

GB - UNITED KINGDOM

Number of pages

14

Pages from-to

71-84

UT code for WoS article

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EID of the result in the Scopus database

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