Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing

DOI10.1155/2018/1838521zbMath1417.91551OpenAlexW2898620050WikidataQ128909690 ScholiaQ128909690MaRDI QIDQ1726996

Xianqiang Yang

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/1838521

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (1)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION

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• The Valuation of Volatility Options
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• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• TARGET VOLATILITY OPTION PRICING

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