IDEAS home Printed from https://ideas.repec.org/h/spr/sprfcp/978-1-4614-7306-0_8.html
   My bibliography  Save this book chapter

Initial-Boundary Value and LC Problems

In: Derivative Securities and Difference Methods

Author

Listed:
  • You-lan Zhu

    (University of North Carolina)

  • Xiaonan Wu

    (Hong Kong Baptist University)

  • I-Liang Chern

    (National Taiwan University)

  • Zhi-zhong Sun

    (Southeast University)

Abstract

Evaluation of European-style derivatives can be reduced to solving initial value or initial-boundary value problems of parabolic partial differential equations. This chapter discusses numerical methods for such problems. If an American option problem is formulated as a linear complementarity problem, then the only difference between solving a European option and an American option is that if the solution obtained by the partial differential equation does not satisfy the constraint at some point, then the solution of the PDE at the point should be replaced by the value determined from the constraint condition. Such methods are usually referred to as projected methods for American-style derivatives. Therefore, the two methods are very close, and we also study the projected methods in this chapter.

Suggested Citation

  • You-lan Zhu & Xiaonan Wu & I-Liang Chern & Zhi-zhong Sun, 2013. "Initial-Boundary Value and LC Problems," Springer Finance, in: Derivative Securities and Difference Methods, edition 2, chapter 8, pages 445-534, Springer.
    • Handle: RePEc:spr:sprfcp:978-1-4614-7306-0_8
    DOI: 10.1007/978-1-4614-7306-0_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprfcp:978-1-4614-7306-0_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.