COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS

DOI10.1017/S1446181110000854zbMath1216.35182arXiv1002.0979OpenAlexW3124304278MaRDI QIDQ2996867

M. Lauko, Daniel Ševčovič

Publication date: 4 May 2011

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0979

zbMATH Keywords

option pricingAmerican put optionearly exercise boundarylimiting behaviour close to expiry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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