Convergence rate of free boundary of numerical scheme for American option
نویسندگان
چکیده
منابع مشابه
Numerical Solution of Integral Equation for the Early Exercise Boundary of American Put Option
The paper is focused on numerical approximation of early exercise boundary within American put option pricing problem. Assuming non-dividend paying, American put option leads to two disjunctive regions, a continuation one and a stopping one, which are separated by an early exercise boundary. We present variational formulation of American option problem with special attention to early exercise a...
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ژورنال
عنوان ژورنال: Discrete and Continuous Dynamical Systems - Series B
سال: 2016
ISSN: 1531-3492
DOI: 10.3934/dcdsb.2016004