In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained...In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained using other classical methods for the inverse Laplace transformation,like the Euler summation method or the Gaver-Stehfest method.展开更多
This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium alon...This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium along with the delta hedge parameter for an American continuous-installment down-and-out call option are obtained by using the decomposition technique.This offers a system of nonlinear integral equations for determining the optimal exercise and stopping boundaries,which can be utilized to approximate the option price and delta hedge parameter.The implementation is based on discretizing the quadrature formula in the system of equations and using the Newton-Raphson method to compute the two optimal boundaries at each time points.Numerical results are provided to illustrate the computational accuracy and the effects on the initial premium and optimal boundaries with respect to barrier.展开更多
文摘In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options.We compare the results with the one obtained using other classical methods for the inverse Laplace transformation,like the Euler summation method or the Gaver-Stehfest method.
基金supported by the National Natural Science Foundation of China under Grant No.40675023Guangxi Natural Science Foundation under Grant No.0991091
文摘This paper analyzes and values an American barrier option with continuous payment plan written on a dividend paying asset under the classical Black-Scholes model.The integral representation of the initial premium along with the delta hedge parameter for an American continuous-installment down-and-out call option are obtained by using the decomposition technique.This offers a system of nonlinear integral equations for determining the optimal exercise and stopping boundaries,which can be utilized to approximate the option price and delta hedge parameter.The implementation is based on discretizing the quadrature formula in the system of equations and using the Newton-Raphson method to compute the two optimal boundaries at each time points.Numerical results are provided to illustrate the computational accuracy and the effects on the initial premium and optimal boundaries with respect to barrier.
