A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (Q3421829)
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scientific article; zbMATH DE number 5123446
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| English | A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS |
scientific article; zbMATH DE number 5123446 |
Statements
A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (English)
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8 February 2007
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American put options
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Laplace
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transform
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moving boundary value problems
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0.85040682554245
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0.8495255708694458
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0.8464298248291016
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