2015/04/17 by Riccardo Fazio, Fazio, Riccardo · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #A priori and a posteriori #Applied mathematics #Computer science #Econometrics #Epistemology #Estimator #Extrapolation #FOS: Economics and business #Finite difference #Front (military) #Mathematical Finance (q-fin.MF) #Mathematical analysis #Mathematical optimization #Mathematics #Meteorology #Monetary Policy and Economic Impact #Philosophy #Physics #Reservoir Engineering and Simulation Methods #Richardson extrapolation #Scheme (mathematics) #Statistics #Stochastic processes and financial applications #Valuation of options #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1504.04594
6 pages,3 figures, 2 tables. World Congress on Engineering 2015. London 1-3 July 2015
arxiv created 2015/04/17 · openalex publication_date 2015/04/17 · arxiv updated 2015/04/20 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
For the numerical solution of the American option valuation problem, we\nprovide a script written in MATLAB implementing an explicit finite difference\nscheme. Our main contribute is the definition of a posteriori error estimator\nfor the American options pricing which is based on Richardson's extrapolation\ntheory. This error estimator allows us to find a suitable grid where the\ncomputed solution, both the option price field variable and the free boundary\nposition, verify a prefixed error tolerance.\n