Year: 2003
Author: Xiong-Hua Wu, Xiu-Juan Feng
Journal of Computational Mathematics, Vol. 21 (2003), Iss. 3 : pp. 305–310
Abstract
American options can be exercised prior to the date of expiration, the valuation of American options then constitutes a free boundary value problem. How to determine the free boundary, i.e. the optimal exercise price, is a key problem. In this paper, a nonlinear equation is given. The free boundary can be obtained by solving the nonlinear equation and the numerical results are better.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2003-JCM-10258
Journal of Computational Mathematics, Vol. 21 (2003), Iss. 3 : pp. 305–310
Published online: 2003-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 6
Keywords: American options Free boundary Optimal exercise price Nonlinear equation.