Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansion

Article Abstract:

A backward recursive algorithm is used to evaluate derivative security prices. This algorithm works by expanding the price in a Fourier-Hermite series as a function of the underlying asset price. Its primary advantage is that it gives the price as a continuous function of the underlying asset price, thereby allowing hedge ratios to be calculated to a high degree of accuracy with minimal computational difficulty. Moreover, this path integral approach allows precise location of the early exercise boundary when evaluating the American put option.

Analysis, Prices and rates, Options (Finance), Derivatives (Financial instruments), Fourier analysis, Integrals, Path, Path integrals, Fourier series

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Evaluation of American strangles

Article Abstract:

A study on generalization of McKean's free boundary value problem for pricing American options or derivative securities is presented. For this purpose, the examples of an American strangle position, where exercising one side of the position early will knock out the remaining side. For the numerical analysis purpose, the Fourier transform technique and numerical algorithm is used.

Science & research, Algorithms, Algorithm, Boundary value problems, Fourier transformations, Fourier transforms

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High order disequilibrium growth dynamics: Theoretical aspects and numerical features

Article Abstract:

An open monetary growth model is considered.

Models, Economic development

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