UNIQUENESS OF APPROXIMATE SOLUTION FOR AMERICAN PUT OPTION PRICING

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SHAHMORAD S.; KALANTARI R.

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Seminar Paper

Paper Information

Seminar: ANNUAL IRANIAN MATHEMATICS CONFERENCE
Year:2016 | Issue:47

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Title

UNIQUENESS OF APPROXIMATE SOLUTION FOR AMERICAN PUT OPTION PRICING

Author(s)

SHAHMORAD S. | KALANTARI R. | Issue Writer Certificate

Keywords

FRACTIONAL BLACK-SCHOLES MODEL

QUASI-STATIONARY METHOD

FINITE DIFFERENCE SCHEME

Abstract

WE INTRODUCE THE MATHEMATICAL MODELING OF AMERICAN PUT OPTION UNDER THE FRACTIONAL BLACK SCHOLES (FBS) MODEL, WHICH LEADS TO A FREE BOUNDARY PROBLEM. THEN THE FREE BOUNDARY (OPTIMAL EXERCISE BOUNDARY) THAT IS UNKNOWN, IS FOUND BY THE QUASI-STATIONARY METHOD THAT CAUSE AMERICAN PUT OPTION PROBLEM TO BE SOLVABLE. IN CONTINUATION WE USE A FINITE DIFFERENCE METHOD FOR DERIVATIVES WITH RESPECT TO STOCK PRICE, BACKWARD FINITE DIFFERENCE FORMULA FOR DERIVATIVES WITH RESPECT TO TIME AND REACH A FRACTIONAL FINITE DIFFERENCE PROBLEM. WE SHOW THAT THE SET UP FRACTIONAL FINITE DIFFERENCE PROBLEM HAS A UNIQUE SOLUTION.

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APA: Copy

SHAHMORAD, S., & KALANTARI, R.. (2016). UNIQUENESS OF APPROXIMATE SOLUTION FOR AMERICAN PUT OPTION PRICING. ANNUAL IRANIAN MATHEMATICS CONFERENCE. SID. https://sid.ir/paper/946304/en

Vancouver: Copy

SHAHMORAD S., KALANTARI R.. UNIQUENESS OF APPROXIMATE SOLUTION FOR AMERICAN PUT OPTION PRICING. 2016. Available from: https://sid.ir/paper/946304/en

IEEE: Copy

S. SHAHMORAD, and R. KALANTARI, “UNIQUENESS OF APPROXIMATE SOLUTION FOR AMERICAN PUT OPTION PRICING,” presented at the ANNUAL IRANIAN MATHEMATICS CONFERENCE. 2016, [Online]. Available: https://sid.ir/paper/946304/en

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