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摘要翻译：
本文对计算零红利美式看跌期权早期行权边界位置的各种解析和数值逼近方法进行了定性和定量的比较。首先，我们分析了它们在接近到期时的渐近行为。在本文的第二部分，我们介绍了一种新的计算整个早期运动边界的数值格式。局部迭代数值格式是基于非线性积分方程的解。我们将新方法所得的数值结果与投影逐次超松弛方法和朱先生最近导出的解析近似公式的数值结果进行了比较。
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英文标题：
《Comparison of numerical and analytical approximations of the early
exercise boundary of the American put option》
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作者：
Martin Lauko, Daniel Sevcovic
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends. First we analyze their asymptotic behavior close to expiration. In the second part of the paper, we introduce a new numerical scheme for computing the entire early exercise boundary. The local iterative numerical scheme is based on a solution to a nonlinear integral equation. We compare numerical results obtained by the new method to those of the projected successive over relaxation method and the analytical approximation formula recently derived by Zhu.
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PDF链接：
https://arxiv.org/pdf/1002.0979
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