An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation (Q5452392): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
(4 intermediate revisions by 3 users not shown) | |||
label / en | label / en | ||
An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation | |||
Property / author | |||
Property / author: Daniel Ševčovič / rank | |||
Property / author | |||
Property / author: Daniel Ševčovič / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / arXiv classification | |||
q-fin.CP | |||
Property / arXiv classification: q-fin.CP / rank | |||
Normal rank | |||
Property / arXiv classification | |||
math.NA | |||
Property / arXiv classification: math.NA / rank | |||
Normal rank | |||
Property / arXiv ID | |||
Property / arXiv ID: 0710.5301 / rank | |||
Normal rank |
Latest revision as of 03:16, 20 April 2024
scientific article; zbMATH DE number 5259070
Language | Label | Description | Also known as |
---|---|---|---|
English | An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation |
scientific article; zbMATH DE number 5259070 |
Statements
4 April 2008
0 references
fixed domain
0 references
risk adjustment
0 references
pricing American options
0 references
q-fin.CP
0 references
math.NA
0 references