Volume no :37, Issue no: 1, January

Journal of Mathematical Sciences: Advances and Applications

PRICING AMERICAN PUT OPTION WITH DIVIDENDS ON VARIATIONAL INEQUALITY

Author's: Xiaofang Zhou and Haichun Tang
Pages: [19] - [36]
Received Date: December 25, 2015
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121609

Abstract

In this paper, considering the variational inequality model for American put option with dividends under Black-Scholes model, solving the variational equation by the finite difference method and the splitting method in time, numerical experiments have verified the effectiveness of the algorithm.

Keywords

Black-Scholes model, American put option, variational inequality.