Renewal equations for option pricing
β Scribed by M. Montero
- Book ID
- 111622749
- Publisher
- Springer
- Year
- 2008
- Tongue
- English
- Weight
- 343 KB
- Volume
- 65
- Category
- Article
- ISSN
- 1434-6036
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this paper, we are concerned with the time integration of differential equations modeling option pricing. In particular, we consider the Black-Scholes equation for American options. As an alternative to existing methods, we present exponential Rosenbrock integrators. These integrators require the
## Abstract This study generalizes the nonparametric approach to option pricing of Stutzer, M. (1996) by demonstrating that the canonical valuation methodology introduced therein is one member of the CressieβRead family of divergence measures. Alhough the limiting distribution of the alternative me