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An approximate moving boundary method for American option pricing - MaRDI portal

An approximate moving boundary method for American option pricing (Q2629646)

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English
An approximate moving boundary method for American option pricing
scientific article

    Statements

    title
    An approximate moving boundary method for American option pricing (English)
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    publication date
    6 July 2016
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    zbMATH Keywords
    stochastic control
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    optimal stopping
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    free boundary PDEs
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    approximate boundaries
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65N38
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    35R35
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    91G20
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    60G40
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    zbMATH DE Number
    6601406
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    OpenAlex ID
    W2042707734
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