Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
type: Item
instance of: scholarly article
title: Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
zbMATH Open document ID: 1352.91034
author: S. Kazemi
author: Mehdi Dehghan
author: Ali Foroush Bastani
published in: Journal of Computational and Applied Mathematics
publication date: 2016-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65N15
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 34E05
Mathematics Subject Classification ID: 35R35
zbMATH DE Number: 6668784
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: American call option
zbMATH Keywords: free boundary value problem
zbMATH Keywords: transparent boundary conditions
zbMATH Keywords: repeated integral of the complementary error functions
zbMATH Keywords: Poincaré asymptotic expansion
MaRDI profile type: Publication
full work available at URL: j.cam.2016.06.033
OpenAlex ID: W2462562760
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DOI: 10.1016/J.CAM.2016.06.033
description: scientific article; zbMATH DE number 6668784