An improved Barone-Adesi Whaley formula for turbulent markets
DOI10.1016/j.cam.2021.113993zbMath1490.91241OpenAlexW4200352989WikidataQ113878737 ScholiaQ113878737MaRDI QIDQ2074890
Michele Bufalo, Giuseppe Orlando
Publication date: 11 February 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113993
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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