Art

J-GLOBAL ID：200902285103358708   Reference number：04A0139442

A Numerical Computation to the American Option Pricing via the Discrete Morse Flow

離散モールスフローによる米国オプション価格決定

Author (5)： OMATA S (Kanazawa Univ., Ishikawa) ,  IWASAKI H (Kanazawa Univ., Ishikawa) ,  NAKANE K (Osaka Inst. Technol., Osaka) ,  XIONG X (Kanazawa Univ., Ishikawa) ,  SAKUMA M (Kanazawa Univ., Ishikawa)
Material： Theoretical and Applied Mechanics Japan  (Theor Appl Mech Jpn)
Volume： 52  Page： 261-266  Publication year： 2003 
JST Material Number： G0568B  ISSN： 1348-0693  Document type： Article
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： *pricing ,...
Semi thesaurus term： USA

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JST classification (2)： Profit management  (KA05030A) ,  Numerical computation  (JE02000J)

Reference (10)：

• 1) N. Kikuchi, “An approach to the construction of Morse flows for variational functionals”, in “Nematics - Mathematical and Physical Aspects”, ed: J. -M. Coron, J. -M. Ghidaglia, F. H('e)lein, NATO Adv. Sci. Inst. Ser. C: Math. Phys. Sci. 332, Kluwer Acad. Publ.,
• 2) N. Kikuchi, “A method of constructing Morse flows to variational functionals”, Nonlinear. World 1 (1994) 131-147.
• 3) T. Nagasawa - S. Omata, “Discrete Morse semiflows of a functional with free boundary”, Adv. Math. Sci. Appl. 2 (1993), 147-187.
• 4) S.Omata, “Numerical methods based on the discrete Morse semiflow”, Theoretical and Applied Mechanics 45, (1996) 189-194.
• 5) S.Omata, “A Numerical Method based on the discrete Morse semiflow related to parabolic and hyperbolic equations”, Nonlinear Analysis, 30, No.4, (1997) 2181-2187.

Terms in the title (3)： フロー ,  米国 ,  オプション価格