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

DOI10.1017/S1446181110000854zbMath1216.35182arXiv1002.0979MaRDI 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 pricing; American put option; early exercise boundary; limiting behaviour close to expiry

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G80: Financial applications of other theories

35R35: Free boundary problems for PDEs

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

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