An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

zbMath1145.35321arXiv0710.5301MaRDI QIDQ5452392

Daniel Ševčovič

Publication date: 4 April 2008

Full work available at URL: https://arxiv.org/abs/0710.5301

zbMATH Keywords

risk adjustmentpricing American optionsfixed domain

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Theoretical approximation in context of PDEs (35A35) Initial value problems for second-order parabolic equations (35K15)

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