An integral representation and computation for the solution of American options

DOI10.1016/S1468-1218(01)00028-1zbMath1011.91049MaRDI QIDQ1612638

Junping Wang, Robert G. Underwood

Publication date: 25 August 2002

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

zbMATH Keywords

iterative methodsfree boundary value problemsoption/derivative pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integral representations of solutions to PDEs (35C15) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Boundary value problems for linear higher-order PDEs (35G15)

Related Items (3)

Pricing American interest rate option on zero-coupon bond numerically ⋮ AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER ⋮ Superconvergence estimates of finite element methods for American options

Cites Work

• The Pricing of Options and Corporate Liabilities

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