Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (Q730511): Difference between revisions
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Revision as of 01:30, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry |
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Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry (English)
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28 December 2016
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Black-Scholes equation
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American call option
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free boundary value problem
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transparent boundary conditions
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repeated integral of the complementary error functions
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Poincaré asymptotic expansion
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