An explicit series approximation to the optimal exercise boundary of American put options

DOI10.1016/j.cnsns.2009.05.055zbMath1221.91053OpenAlexW1996285408MaRDI QIDQ718216

Jun Cheng, Song-Ping Zhu, Shi-Jun Liao

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.05.055

zbMATH Keywords

moving boundary problemshomotopy analysis methodAmerican put optionoptimal exercise boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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