Estimations to the Multi-Assets American Option Pricing via a Minimizing Method(Application,Mathematical Finance,<Special Issue>Joint Symposium of JSIAM Activity Groups 2008)

Abstract

A minimizing method for calculating the American call option is developed. The American option pricing is a heat type obstacle problem but it contains some difficulties on the initial condition. Inspite of these difficulties the discrete Morse semiflow, which is a minimizing scheme via the time semidiscretized variational functional, works well. Moreover approximate solutions are monotone increasing.