A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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Publication:3593056
DOI10.1137/S0036141003437708zbMath1305.91227OpenAlexW2159517176MaRDI QIDQ3593056
Publication date: 24 September 2007
Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0036141003437708
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Singular nonlinear integral equations (45G05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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