• Journal of applied mathematics & informatics
• /
• v.31 no.5_6
• /
• pp.769-784
• /
• 2013

We consider the modulus-based successive overrelaxation method for the linear complementarity problems from the discretization of Black-Scholes American options model. The $H_+$-matrix property of the system matrix discretized from American option pricing which guarantees the convergence of the proposed method for the linear complementarity problem is analyzed. Numerical experiments confirm the theoretical analysis, and further show that the modulus-based successive overrelaxation method is superior to the classical projected successive overrelaxation method with optimal parameter.

• Journal for History of Mathematics
• /
• v.20 no.3
• /
• pp.127-146
• /
• 2007

From 1876 to 1883, British mathematician James Joseph Sylvester worked as the founding head of Mathematics Department at the Johns Hopkins University which has been known as America's first school of mathematical research. Sylvester established the American Journal of Mathematics, the first sustained mathematics research journal in the United States. It is natural that we think this is the most exciting and important period in American mathematics. But we found out that the International Congress of Mathematicians held at the World's Columbian Exposition in Chicago, August 21-26, 1893 was the real turning point in American's dedication to mathematical research. The University of Chicago was founded in 1890 by the American Baptist Education Society and John D. Rockefeller. The founding head of mathematics department Eliakim Hastings Moore was the one who produced many excellent American mathematics Ph.D's in early stage. Many of Moore's students contributed to build up real American mathematics research power in early 20 century The University also has a well-deserved reputation as the "teacher of teachers". Beginning with Sylvester, we analyze what E.H. Moore had done as a teacher and a head of the new department that produced many mathematical talents such as L.E. Dickson(1896), H. Slaught(1898), O. Veblen(1903), R.L. Moore(1905), G.D. Birkhoff(1907), T.H. Hilderbrants(1910), E.W. Chittenden(1912) who made the history of American mathematics. In this article, we study how Moore's vision, new system and new way of teaching influenced American mathematical society at early stage of the top class mathematical research. and the meaning that early University of Chicago case gave.

• Journal for History of Mathematics
• /
• v.19 no.2
• /
• pp.77-88
• /
• 2006

In 1876, America's first Jewish math professor J. J. Sylvester took a department head position at the first research university in USA at the age of 61. He launched the America's first research journal of mathematics in 1877. We study the role and meaning of J. J. Sylvester, F. Klein and E. H. Moore in late 19th century of American mathematics from Korean's perspective.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.12 no.4
• /
• pp.271-287
• /
• 2008

This paper deals with American call and put options. Determining the fair price and the free boundary of an American option is a very difficult problem since they depends on each other. This paper presents numerical algorithms of finite element method based on the three-level scheme to compute both the price and the free boundary. One algorithm is designed for American call options and the other one for American put options. These algorithms are formulated on the system of the Jamshidian equation for the option price and the free boundary. Here, the Jamshidian equation is of a kind of the nonhomogeneous Black-Scholes equations. We prove the existence and uniqueness of the numerical solution by the Lax-Milgram lemma and carried out extensive numerical experiments to compare with various methods.

• Journal of applied mathematics & informatics
• /
• v.6 no.2
• /
• pp.569-574
• /
• 1999

In this paper we obtain relation between the heding prices in European and American option and apply to call option.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.4 no.2
• /
• pp.11-20
• /
• 2000

This paper presents a formula that relates the optimal exercise boundaries of American call and put options on futures contract. It is shown that the geometric mean of the optimal exercise boundaries for call and put written on the same futures contract with the same exercise price is equal to the exercise price which is time invariant. The paper also investigates the properties of American calls and puts on futures contract.

• Korean Journal of Mathematics
• /
• v.25 no.2
• /
• pp.229-246
• /
• 2017

This paper concerns barrier option of American type where the underlying price is monitored during only part of the option's life. Analytic valuation formulas of the American partial barrier options are obtained by approximation method. This approximation method is based on barrier options along with exponential early exercise policies. This result is an extension of Jun and Ku [10] where the exercise policies are constant.

• Bulletin of the Korean Mathematical Society
• /
• v.60 no.2
• /
• pp.361-388
• /
• 2023

In this study, we deal with American lookback option prices on dividend-paying assets under a stochastic volatility (SV) model. By using the asymptotic analysis introduced by Fouque et al. [17] and the Laplace-Carson transform (LCT), we derive the explicit formula for the option prices and the free boundary values with a finite expiration whose volatility is driven by a fast mean-reverting Ornstein-Uhlenbeck process. In addition, we examine the numerical implications of the SV on the American lookback option with respect to the model parameters and verify that the obtained explicit analytical option price has been obtained accurately and efficiently in comparison with the price obtained from the Monte-Carlo simulation.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.19 no.1
• /
• pp.1-21
• /
• 2015

This paper presents two algorithms based on the Jamshidian equation which is from the Black-Scholes partial differential equation. The first algorithm is for American call options and the second one is for American put options. They compute numerically free boundary and then option price, iteratively, because the free boundary and the option price are coupled implicitly. By the upwind finite-difference scheme, we discretize the Jamshidian equation with respect to asset variable s and set up a linear system whose solution is an approximation to the option value. Using the property that the coefficient matrix of this linear system is an M-matrix, we prove several theorems in order to formulate a bisection method, which generates a sequence of intervals converging to the fixed interval containing the free boundary value with error bound h. These algorithms have the accuracy of O(k + h), where k and h are step sizes of variables t and s, respectively. We prove that they are unconditionally stable. We applied our algorithms for a series of numerical experiments and compared them with other algorithms. Our algorithms are efficient and applicable to options with such constraints as r > d, $r{\leq}d$, long-time or short-time maturity T.

• Journal for History of Mathematics
• /
• v.33 no.1
• /
• pp.21-32
• /
• 2020

Daniel Coit Gilman, the first president of Johns Hopkins University, aspired to build an ideal university focused on the competent faculty and their research. His plan was carried out through opening the first American graduate program, hiring professors with the highest-level research performances, assigning them less teaching burdens, and encouraging them to actively publish professional journals. He introduced Department of Mathematics as an initial model to put his plan into practice, and James Joseph Sylvester, a British mathematician invited as the first mathematics professor to Johns Hopkins University, made it possible in a short time. Their concerted efforts led to building the Department of Mathematics as a professional research institute for research, higher education, and expert training as well as to publishing American Journal of Mathematics.