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Details of talk

TitleA new integral equation formulation for pricing American put options
PresenterSong-Ping Zhu (University of Wollongong)
Author(s)Prof Song-Ping Zhu
SessionApplied Mathematics/Industrial Mathematics
Time16:00:00 2016-12-08
Abstract


A new integral equation to solve the American put option pricing problem is
presented in this talk. The newly derived integral equation for pricing American
options has some clear advantages over those proposed in the past with the
following two unique features: 
a) it is in a form of one-dimensional integral, which means that it has a great
advantage in terms of substantially increasing the speed with which values of an
American option can be numerically computed.  
b) singularities associated with the optimal exercise boundary at the time to
expiry are elegantly avoided; the computational accuracy and efficiency can thus
be enhanced. 
Numerical accuracy and efficiency of the newly derived integral equation
formulation for pricing American options are demonstrated through some
preliminary results of numerical experiments.