An explicit series approximation to the optimal exercise boundary of American put options
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Publication:718216
DOI10.1016/j.cnsns.2009.05.055zbMath1221.91053OpenAlexW1996285408MaRDI QIDQ718216
Jun Cheng, Song-Ping Zhu, Shi-Jun Liao
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.05.055
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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