Titlebook: Numerical Methods in Finance; Michèle Breton,Hatem Ben-Ameur Book 2005 Springer-Verlag US 2005 asset.ben-ameur.linear optimization.optimis

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Michèle Breton,Hatem Ben-AmeurOne of ten volumes marking the 25th anniversary of GERAD covering most of the Center‘s research areas of expertise.Presents some exciting developments arising from the combination of mathematics, nume

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On Numerical Methods and the Valuation of American Options, by including stochastic interest rates and proposing a decomposition of the underlying index volatility. We use the Crank — Nicholson numerical scheme in two space dimensions and extend the Alternating Direction Implicit method for the valuation of American options. We also provide an efficient algorithm and simulate Option values.

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Valuing American Contingent Claims when Time to Maturity is Uncertain,where the valuation of such product appears natural, Employee Stock Options and Real Options. We discuss through a numerical example, how the optimal exercise boundary and the Option value are affected by the uncertainty in the maturity, and document significant effects.

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