Pricing American put options model with application to oil options
by Hajar Nafia; Imane Agmour; Youssef El Foutayeni; Naceur Achtaich
International Journal of Computing Science and Mathematics (IJCSM), Vol. 17, No. 1, 2023

Abstract: In this paper, we reformulate a problem of pricing American put options to linear complementarity problem. The space and the time are discretised with the finite difference method in the Crank-Nickolson approach, which leads to present the put option price as a solution of the linear complementarity problem. For solving this problem and evaluating the put options we use a fast algorithm. We apply our study for an example on oil options.

Online publication date: Thu, 20-Apr-2023

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