Direct computation for American put option and free boundary using finite difference method
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Publication:1943082
DOI10.1007/s13160-012-0094-9zbMath1258.91219OpenAlexW2051129224MaRDI QIDQ1943082
Beom Jin Kim, Hi Jun Choe, Cheonghee Ahn
Publication date: 15 March 2013
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-012-0094-9
Related Items (5)
A simple numerical method for pricing an American put option ⋮ Optimal exercise boundary via intermediate function with jump risk ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ Two simple numerical methods for the free boundary in one-phase Stefan problem
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