Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

DOI10.1016/j.cam.2016.06.033zbMath1352.91034OpenAlexW2462562760MaRDI QIDQ730511

Mehdi Dehghan, Ali Foroush Bastani, Seyed-Mohammad-Mahdi Kazemi

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.06.033

zbMATH Keywords

transparent boundary conditionsBlack-Scholes equationfree boundary value problemAmerican call optionPoincaré asymptotic expansionrepeated integral of the complementary error functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Error bounds for boundary value problems involving PDEs (65N15) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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