컨텐츠 시작
학술대회/행사
초록검색
| 제출번호(No.) | 0221 |
|---|---|
| 분류(Section) | Special Session |
| 분과(Session) | (SS-20) Mathematical Finance (SS-20) |
| 발표시간(Time) | 20th-D-13:20 -- 13:40 |
| 영문제목 (Title(Eng.)) |
Stability analysis for American options under regime-switching jump-diffusion models |
| 저자(Author(s)) |
Younhee Lee1 Chungnam National University1 |
| 초록본문(Abstract) | We introduce a linear complementarity problem (LCP) for evaluating American options under regime-switching jump-diffusion models. To reflect the volatility smiles and skews, the variable coefficients are considered with the regime-switching model with jumps. In this talk, we provide numerical methods to solve the LCP and they are coupled with an operator splitting method to meet two inequality conditions. We then analyze the stability of the proposed methods in the discrete $\ell^{2}$-norm. |
| 분류기호 (MSC number(s)) |
91G60 |
| 키워드(Keyword(s)) | American option, operator splitting method, stability analysis |
| 강연 형태 (Language of Session (Talk)) |
Korean |