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In this paper, we perform a comparison study of explicit and implicit numerical methods for the equity-linked securities (ELS). The option prices of the two-asset ELS are typically computed using an implicit finite diffrence method because an explicit finite diffrence scheme has a restriction for time steps. Nowadays, the three-asset ELS is getting popularity in the real world financial market. In practical applications of the finite diffrence methods in computational finance, we typically use relatively large space steps and small time steps. Therefore, we can use an accurate and effient explicit finite diffrence method because the implementation is simple and the computation is fast. The computational results demonstrate that if we use a large space step, then the explicit scheme is better than the implicit one. On the other hand, if the space step size is small, then the implicit scheme is more effient than the explicit one.
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참고문헌 (7)
참고문헌 신청
F. Black / 1973 / The pricing of options and corporate liabilities / J. Polit. Econ. 81:637~659
R. Zvan / 1998 / Robust numerical methods for PDE models of Asian options / J. Comput. Financ. 1:39~78
김준석 / 2010 / AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION / Journal of the Korean Society for Industrial and Applied Mathematics 14(3):175~187
L. Trigeorgis / 1991 / A log-transformed binomial numerical analysis method for valuing complex multi-option investments / J. Financ. Quant. Anal. 26:309~326
C. Reisinger / 2004 / On multigrid for anisotropic equations and vari-ational inequalities Pricing multi-dimensional European and American options / Comput. Visual. Sci. 7:189~197
R. Zvan / 1998 / Robust numerical methods for PDE models of Asian options / J. Comput. Financ. 1:39~78
김준석 / 2010 / AN OPERATOR SPLITTING METHOD FOR PRICING THE ELS OPTION / Journal of the Korean Society for Industrial and Applied Mathematics 14(3):175~187
L. Trigeorgis / 1991 / A log-transformed binomial numerical analysis method for valuing complex multi-option investments / J. Financ. Quant. Anal. 26:309~326
C. Reisinger / 2004 / On multigrid for anisotropic equations and vari-ational inequalities Pricing multi-dimensional European and American options / Comput. Visual. Sci. 7:189~197
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