An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation (Q5452392)
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scientific article; zbMATH DE number 5259070
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| English | An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation |
scientific article; zbMATH DE number 5259070 |
Statements
4 April 2008
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fixed domain
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risk adjustment
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pricing American options
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q-fin.CP
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math.NA
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0.9188663363456726
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0.830177903175354
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0.8187428712844849
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0.7952048182487488
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