Analysis of the free boundary for the pricing of an American call option
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Publication:2732511
DOI10.1017/S0956792501004338zbMath1113.91315MaRDI QIDQ2732511
Publication date: 19 September 2001
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Related Items (13)
Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation ⋮ On a Numerical Approximation Scheme for Construction of the Early Exercise Boundary for a Class of Nonlinear Black–Scholes Equations ⋮ Numerical Method for Solving Free Boundary Problem Arising from Fixed Rate Mortgages ⋮ A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost ⋮ An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation ⋮ Parameter estimation approach to the free boundary for the pricing of an American call option ⋮ Moving boundary transformation for American call options with transaction cost: finite difference methods and computing ⋮ American option pricing problem transformed on finite interval ⋮ THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS ⋮ A Numerical Approach for the American Call Option Pricing Model
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