Abstract
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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Japan Journal of Industrial and Applied Mathematics
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
