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Application of the Singularity-Separating Method to American Exotic Option Pricing |
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| Authors: | Zhu You-lan Chen Bin-mu Ren Hongliang Xu Hanping |
| Affiliation: | (1) Department of Mathematics, University of North Carolina at Charlotte, NC, USA;(2) Academia Sinica, Institute of Computational Mathematics & Scientific/Engineering Computation, Beijing, China;(3) Enron Capital & Trade Resources Corp., Houston, TX, USA;(4) Software Resources of NJ, 114 Broad Street, Flemington, NJ, USA |
| Abstract: | This paper is devoted to numerical methods for American barrier and lookback options, which are important examples of American exotic options. Since the singularity-separating method is adopted, accurate numerical results can be obtained very fast. |
| Keywords: | computational finance finite difference methods American option pricing |
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