Background:This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary(EEB).This model is based on a closed-form solution J-formula for pricing Euro...Background:This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary(EEB).This model is based on a closed-form solution J-formula for pricing European options,defined in the study by Jerbi(Quantitative Finance,15:2041-2052,2015).The J-am pricing formula is a solution of the Black&Scholes(BS)PDE with an additional function called f as a second member and with limit conditions adapted to the American option context.The aforesaid function f represents the cash flows resulting from an early exercise of the option.Methods:This study develops the theoretical formulas of the early exercise premium value related to three American option pricing models called J-am,BS-am,and Heston-am models.These three models are based on the J-formula by Jerbi(Quantitative Finance,15:2041-2052,2015),BS model,and Heston(Rev Financ Stud,6:327-343,1993)model,respectively.This study performs a general algorithm leading to the EEB and to the American option price for the three models.Results:After implementing the algorithms,we compare the three aforesaid models in terms of pricing and the EEB curve.In particular,we examine the equivalence between J-am and Heston-am as an extension of the equivalence studied by Jerbi(Quantitative Finance,15:2041-2052,2015).This equivalence is interesting since it can reduce a bi-dimensional model to an equivalent uni-dimensional model.Conclusions:We deduce that our model J-am exactly fits the Heston-am one for certain parameters values to be optimized and that all the theoretical results conform with the empirical studies.The required CPU time to compute the solution is significantly less in the case of the J-am model compared with to the Heston-am model.展开更多
The conservation law of J-integral in two-media with a crack paralleling to the interface of the two media was firstly proved by analytical and numerical finite element method. Then a schedule model was established th...The conservation law of J-integral in two-media with a crack paralleling to the interface of the two media was firstly proved by analytical and numerical finite element method. Then a schedule model was established that an interface crack is inserted in four media. According to the J-integral conservation law on multi-media, the energy release ratio of Ⅰ-type crack was considered to be conservation when the middle medium layers are very thin. And the conservation law was also convinced by numerical method. By means of the dimension analysis on the model, the asymptotic results and formula calculating the energy release ratio and complex stress intensity factor are presented.展开更多
文摘Background:This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary(EEB).This model is based on a closed-form solution J-formula for pricing European options,defined in the study by Jerbi(Quantitative Finance,15:2041-2052,2015).The J-am pricing formula is a solution of the Black&Scholes(BS)PDE with an additional function called f as a second member and with limit conditions adapted to the American option context.The aforesaid function f represents the cash flows resulting from an early exercise of the option.Methods:This study develops the theoretical formulas of the early exercise premium value related to three American option pricing models called J-am,BS-am,and Heston-am models.These three models are based on the J-formula by Jerbi(Quantitative Finance,15:2041-2052,2015),BS model,and Heston(Rev Financ Stud,6:327-343,1993)model,respectively.This study performs a general algorithm leading to the EEB and to the American option price for the three models.Results:After implementing the algorithms,we compare the three aforesaid models in terms of pricing and the EEB curve.In particular,we examine the equivalence between J-am and Heston-am as an extension of the equivalence studied by Jerbi(Quantitative Finance,15:2041-2052,2015).This equivalence is interesting since it can reduce a bi-dimensional model to an equivalent uni-dimensional model.Conclusions:We deduce that our model J-am exactly fits the Heston-am one for certain parameters values to be optimized and that all the theoretical results conform with the empirical studies.The required CPU time to compute the solution is significantly less in the case of the J-am model compared with to the Heston-am model.
文摘The conservation law of J-integral in two-media with a crack paralleling to the interface of the two media was firstly proved by analytical and numerical finite element method. Then a schedule model was established that an interface crack is inserted in four media. According to the J-integral conservation law on multi-media, the energy release ratio of Ⅰ-type crack was considered to be conservation when the middle medium layers are very thin. And the conservation law was also convinced by numerical method. By means of the dimension analysis on the model, the asymptotic results and formula calculating the energy release ratio and complex stress intensity factor are presented.
