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ON WAVELET PRECISE INTEGRATION METHOD FOR AMERICAN OPTIONS
The work described in this paper was supported by grants from the Natural Science Foundation of Chongqing (NO. 8651) and the Post-doctoral Scientific Foundation of China (2004035521).
https://doi.org/10.1142/9789812772763_0124Cited by:0 (Source: Crossref)
Abstract:
In this paper, a novel algorithm for numerical solutions of American option models is presented in terms of the precision integration and wavelet. We discretize the space variable employing quasi–wavelet appropriately so that the resulting semi–discrete system of equations is a system of ordinary differential equation, and then we apply precise integration method to the semi-discrete system. Numerical results show that the proposed algorithm is practicable and efficient.
