Evaluating approximations to the optimal exercise boundary for American options

DOI10.1155/S1110757X02000268zbMath1032.91627OpenAlexW1989244556MaRDI QIDQ1608813

Roland Mallier

Publication date: 13 August 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50628

Mathematics Subject Classification ID

Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (3)

Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ Fast and accurate calculation of American option prices

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