Parameter estimation approach to the free boundary for the pricing of an American call option

DOI10.1016/J.CAMWA.2006.03.009zbMath1133.91411OpenAlexW2009577486MaRDI QIDQ2475863

Taekkeun Kim, Sunbu Kang, Chung-Ki Cho, Yong-Hoon Kwon

Publication date: 11 March 2008

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.03.009

zbMATH Keywords

free boundary problemfinite-element methodBlack-Scholes equationAmerican optionnumerical resultoptimal exercise curve

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Estimation techniques for distributed parameter systems
• Analysis of the free boundary for the pricing of an American call option
• A NOVEL NUMERICAL APPROACH OF COMPUTING AMERICAN OPTION
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Optimal exercise boundary for an American put option
• Option pricing: A simplified approach
• Computational Science and Its Applications – ICCSA 2004

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