A penalty method for American options with jump diffusion processes
A penalty method for American options with jump diffusion processes
复制标题
DOI：
10.1007/s00211-003-0511-8
复制
发表时间：
2004-04
影响因子：
2.1
通讯作者：
Y. d'Halluin;P. Forsyth;G. Labahn
中科院分区：
文献类型：
--
作者：
Y. d'Halluin;P. Forsyth;G. Labahn
标的资产遵循跳跃扩散过程的美式期权的公允价格可以表述为一个偏积分微分线性互补问题。本文提出了一种隐式离散化定价方法。采用迭代法结合FFT计算跳跃扩散相关积分项，采用惩罚法施加美式约束。给出了离散惩罚方程在每个时间步上全局收敛的充分条件。最后，我们给出了数值测试来说明这种收敛性。
The fair price for an American option where the underlying asset follows a jump diffusion process can be formulated as a partial integral differential linear complementarity problem. We develop an implicit discretization method for pricing such American options. The jump diffusion correlation integral term is computed using an iterative method coupled with an FFT while the American constraint is imposed by using a penalty method. We derive sufficient conditions for global convergence of the discrete penalized equations at each timestep. Finally, we present numerical tests which illustrate such convergence.