In this paper, we present a simple numerical method to determine the optimal exercise boundary for American put option with jump risk. Our intermediate function obtained by the partial integro-differential equation can easily determine the optimal exercise boundary. We use finite difference method characterized by explicit scheme in continuation region and extrapolation near optimal exercise boundary. Finally, we present several numerical results which illustrate comparison to other methods.
|Number of pages||14|
|Journal||Japan Journal of Industrial and Applied Mathematics|
|Publication status||Published - 2017 Nov 1|
Bibliographical noteFunding Information:
This work was supported by the research grant of the Kongju National University in 2015.
© 2017, The JJIAM Publishing Committee and Springer Japan KK.
All Science Journal Classification (ASJC) codes
- Applied Mathematics