BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS (Q2875727)

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BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
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    title
    BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS (English)
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    DOI
    10.1111/mafi.12002
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    author
    Daniel Jon Mitchell
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    Jonathan B. Goodman
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    Kumar Muthuraman
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    publication date
    11 August 2014
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    Mathematics Subject Classification ID
    91G60
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    65M38
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    91G20
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    60G40
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    zbMATH DE Number
    6328576
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    zbMATH Keywords
    optimal stopping
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    American options
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    stochastic volatility
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    early exercise boundary
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    free-boundary problem
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    dynamic grid
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