论文标题
在负率下对美国期权的双扫lu分解
Double sweep LU decomposition for American options under negative rates
论文作者
论文摘要
经典的Brennan-Schwartz算法解决了线性互补问题，该问题是由与美国期权定价相关的部分微分方程的有限差异化引起的，并不能在负利率下导致确切的解决方案。这是由于两个练习边界可能出现在负利率下的界限，而仅在单个锻炼边界的情况下，该算法被证明会导致精确的解决方案。本文解释说，在两个方向上，Brennan-Schwartz算法的两次扫描足以恢复精确的解决方案。
The classic Brennan-Schwartz algorithm to solve the linear complementary problem, which arises from the finite difference discretization of the partial differential equation related to American option pricing does not lead to the exact solution under negative interest rates. This is due to the two exercise boundaries which may appear under negative interest rate, while the algorithm was proven to lead to the exact solution in the case of a single exercise boundary only. This paper explains that two sweeps of the Brennan-Schwartz algorithm in two directions is enough to recover the exact solution.
