BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS

DOI10.1111/mafi.12002zbMath1314.91240OpenAlexW3124018866MaRDI QIDQ2875727

Daniel Jon Mitchell, Jonathan B. Goodman, Kumar Muthuraman

Publication date: 11 August 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12002

zbMATH Keywords

optimal stoppingstochastic volatilityAmerican optionsfree-boundary problemdynamic gridearly exercise boundary

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) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38)

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