TY - JOUR
T1 - A Robust Spectral Method for Pricing of American Put Options on Zero-Coupon Bonds
AU - Edson Pindza & Kailash C. Patidar
JO - East Asian Journal on Applied Mathematics
VL - 1
SP - 126
EP - 138
PY - 2018
DA - 2018/02
SN - 8
DO - http://doi.org/10.4208/eajam.170516.201017a
UR - https://global-sci.org/intro/article_detail/eajam/10888.html
KW - Interest rate model, American put bond options, zero-coupon bond, barycentric Legendre method, Greeks.
AB - <p style="text-align: justify;">American put options on a zero-coupon bond problem is reformulated as a
linear complementarity problem of the option value and approximated by a nonlinear
partial differential equation. The equation is solved by an exponential time differencing
method combined with a barycentric Legendre interpolation and the Krylov projection
algorithm. Numerical examples shows the stability and good accuracy of the method.</p>