A new algorithm of the optimal exercise boundary for pricing American options based on Simpson formula (Q2824109)
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scientific article; zbMATH DE number 6634757
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new algorithm of the optimal exercise boundary for pricing American options based on Simpson formula |
scientific article; zbMATH DE number 6634757 |
Statements
6 October 2016
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Simpson formula
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Volterra integral equation
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pricing American option
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optimal exercise boundary
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A new algorithm of the optimal exercise boundary for pricing American options based on Simpson formula (English)
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