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雷达卡
摘要翻译：
本文推广和分析了由于（Hansen and Jorgensen2000)的美式亚式期权的定价模型，包括连续股息率$q$和浮动执行平均的一般方法。我们着重于早期运动边界的定性和定量分析。构造了接近到期的早期行使边界的一阶泰勒级数展开式。在此基础上，提出了一种基于前沿固定法的早期运动边界位置确定的有效数值算法。该算法的构造是基于对代表合成投资组合的变换变量的非局部抛物型偏微分方程的解。给出了各种数值结果，并与Dai and Kwok2006)提出的方法进行了比较。
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英文标题：
《Early exercise boundary for American type of floating strike Asian
option and its numerical approximation》
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作者：
Tomas Bokes and Daniel Sevcovic
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最新提交年份：
2009
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分类信息：
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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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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英文摘要：
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jorgensen 2000) by including a continuous dividend rate $q$ and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise boundary. The first order Taylor series expansion of the early exercise boundary close to expiry is constructed. We furthermore propose an efficient numerical algorithm for determining the early exercise boundary position based on the front fixing method. Construction of the algorithm is based on a solution to a nonlocal parabolic partial differential equation for the transformed variable representing the synthesized portfolio. Various numerical results and comparisons of our numerical method and the method developed by (Dai and Kwok 2006) are presented.
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PDF链接：
https://arxiv.org/pdf/0912.1321
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