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ON WAVELET PRECISE INTEGRATION METHOD FOR AMERICAN OPTIONS
Preview AbstractIn 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.
On Precise Integration Method for American Options
Preview AbstractIn this paper, an algorithm for numerical solutions of American option models is presented in terms of the precision integration. We discretize the space variable employing finite differences 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, and analyze errors of the method. Numerical results show that the proposed algorithm is practicable and efficient.