본문 바로가기 주메뉴 바로가기
22대 대한민국 국회 국회정보길라잡이 국회의원검색
회원가입 로그인
HOME

정보검색

소장정보 검색

국회도서관 홈으로 정보검색 소장정보 검색

결과 내 검색

동의어 포함

고급검색

인명/단체명

저자정보 상세정보
인명/단체명을 입력하세요.

키워드

  • 대표어

  • 외국어

-

초록보기

 Two types of new methods with variable time steps are proposed in order to valuate binary options efficiently. Type I changes adaptively the size of the time step at each time based on the magnitude of the local error, while Type II combines two uniform meshes. The new methods are hybrid finite difference methods, namely starting the computation with a fully implicit finite difference method for a few time steps for accuracy then performing a θ-method during the rest of computation for efficiency. Numerical experiments for standard European vanilla, binary, and American options show that both Type I and II variable time step methods are much more efficient than the fully implicit method or hybrid methods with uniform time steps.

권호기사

권호기사 목록 테이블로 기사명, 저자명, 페이지, 원문, 기사목차 순으로 되어있습니다.
기사명 저자명 페이지 원문 목차
Generalized analytic Fourier-Feynman transforms and convolutions on a fresnel type class Seung Jun Chang ,Il Yong Lee pp.223-245

Differential equations related to family A Ping Li ,Yong Meng pp.247-260

Derivative of the Riesz-Nágy-Takács function In-Soo Baek pp.261-275

Characterizations of elements in prime radicals of skew polynomial rings and skew laurent polynomial rings Jeoung Soo Cheon ,Eun Jeong Kim ,Chang Ik Lee ,Yun Ho Shin pp.277-290

Relations among the first variation, the convolutions and the generalized Fourier-Gauss transforms Man Kyu Im ,Un Cig Ji ,Yoon Jung Park pp.291-302

Preconditioned Gauss-Seidel iterative method for z-matrices linear systems Hailong Shen ,Xinhui Shao ,Zhenxing Huang ,Chunji Li pp.303-314

Deformations of d/BCK-algebras Paul J. Allen ,Hee Sik Kim ,Joseph Neggers pp.315-324

Asymptotic distribution of the discounted proper deficit in the discrete time delayed renewal model Zhen-hua Bao ,Jing Wang pp.325-334

Sphere-foliated minimal and constant mean curvature hypersurfaces in product spaces Keomkyo Seo pp.335-342

(A)strong limit theorem for sequences of blockwise and pairwise m-dependent random variables Van Thanh Le ,Ngoc Anh Vu pp.343-351

Degree conditions and fractional k-factors of graphs Sizhong Zhou pp.353-363

Semi-divisoriality of hom-modules and injective cogenerator of a quotient category Hwankoo Kim pp.365-375

Loci of rational curves of small degree on the moduli space of vector bundles Insong Choe pp.377-386

On the initial values of solutions of a general functional equation Jae-Young Chung ,Dohan Kim pp.387-396

Spatial behavior of solution for the stokes flow equation Yan Liu ,Wenhui Liao ,Changhao Lin pp.397-412

Variable time-stepping hybrid finite difference methods for pricing binary options Hongjoong Kim ,Kyoung-Sook Moon pp.413-426

Hope hypersurfaces in complex two-plane Grassmannians with lie parallel normal acobi operator Imsoon Jeong ,Hyunjin Lee ,Young Jin Suh pp.427-444

참고문헌 (19건) : 자료제공( 네이버학술정보 )

참고문헌 목록에 대한 테이블로 번호, 참고문헌, 국회도서관 소장유무로 구성되어 있습니다.
번호 참고문헌 국회도서관 소장유무
1 Y. Achdou and O. Pironneau, Computational Methods for Option Pricing, Frontiers in Applied Mathematics, 30. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 2005. 미소장
2 The Pricing of Options and Corporate Liabilities 네이버 미소장
3 D. J. Duffy, Finite Difference Methods in Financial Engineering, Wiley Finance Series. John Wiley & Sons, Ltd., Chichester, 2006. 미소장
4 Quadratic Convergence for Valuing American Options Using a Penalty Method 네이버 미소장
5 M. B. Giles and B. Carter, Convergence analysis of Crank-Nicolson and Rannacher time-marching, J. Computat. Fiance 9 (2006), 89-112. 미소장
6 E. G. Haug, The Complete Guide to Option Pricing Formulas (2nd ed.), MaGraw-Hill, 2007. 미소장
7 On the Rate of Convergence of Discrete‐Time Contingent Claims[We are gra] 네이버 미소장
8 D. J. Higham, An Introduction to Financial Option Valuation, Mathematics, stochastics and computation. Cambridge University Press, Cambridge, 2004. 미소장
9 A. Q. M. Khaliq, D. A. Voss, and K. Kazmi, Adaptive θ-methods for pricing American options, J. Comput. Appl. Math. 222 (2008), no. 1, 210-227. 미소장
10 Y. K. Kwok, Mathematicsl Models of Financial Derivatives, Springer-Verlag Singapore, 1998. 미소장
11 P. Lotstedt, J. Persson, L. von Sydow, and J. Tysk, Space-time adaptive nite difference method for European multi-asset options, Comput. Math. Appl. 53 (2007), no. 8, 1159- 1180. 미소장
12 R. C. Merton, Theory of rational option pricing, Bell J. Econom. and Management Sci. 4 (1973), 141-183. 미소장
13 A posteriori error analysis for parabolic variational inequalities 네이버 미소장
14 Convergence remedies for non-smooth payoffs in option pricing 네이버 미소장
15 R. Rannacher, Finite element solution of diffusion problems with irregular data, Numer. Math. 43 (1984), no. 2, 309-327. 미소장
16 E. Reimer and M. Rubinstein, Unscrambling the binary code, Risk 4 (1991), 37-41. 미소장
17 R. Seydel, Tools for Computational Finance, Springer Verlag:Berlin, 2003. 미소장
18 D. Tavella and C. Randall, Pricing Financial Instruments: The finite difference method, John Wiley & Sons, 2000. 미소장
19 P. Wilmott, J. Dewynne, and S. Howison, Option Pricing: Mathematical Models and Computation, Oxford Financial Press, 1993. 미소장

추천서가 (다양한 추천 자료를 만나보세요)

권호기사보기

권호기사 목록 테이블로 기사명, 저자명, 페이지, 원문, 기사목차 순으로 되어있습니다.
기사명 저자명 페이지 원문 기사목차

권호

기사명 원문보기 기사목차
닫기