Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing

DOI10.1155/2018/1838521zbMath1417.91551MaRDI QIDQ1726996

Xianqiang Yang

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/1838521

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65M99: Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems