On the Early Exercise Boundary of the American Put Option
From MaRDI portal
Publication:3149829
DOI10.1137/S0036139900378293zbMath1029.91028MaRDI QIDQ3149829
Daniel N. Ostrov, Jonathan B. Goodman
Publication date: 29 September 2002
Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (19)
American options on assets with dividends near expiry ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ A long time asymptotic behavior of the free boundary for an American put ⋮ Numerical solution of a non-classical two-phase Stefan problem via radial basis function (RBF) collocation methods ⋮ Global existence and blowup of a nonlocal problem in space with free boundary ⋮ Global existence and blowup of a localized problem with free boundary ⋮ A high-order finite difference method for option valuation ⋮ Global existence and blowup analysis to single-species bacillus system with free boundary ⋮ Numerical pricing of options using high-order compact finite difference schemes ⋮ A policy iteration algorithm for the American put option and free boundary control problems ⋮ A fast high-order finite difference algorithm for pricing American options ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems ⋮ A comparison of numerical models for one-dimensional Stefan problems ⋮ American and European options in multi-factor jump-diffusion models, near expiry ⋮ Numerical Approximation of a Free Boundary Problem for a Predator-Prey Model ⋮ A second-order Nyström-type discretization for the early-exercise curve of American put options ⋮ Regularity of the free boundary of an American option on several assets ⋮ Numerical simulations of nonlocal phase-field and hyperbolic nonlocal phase-field models via localized radial basis functions-based pseudo-spectral method (LRBF-PSM) ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
This page was built for publication: On the Early Exercise Boundary of the American Put Option
