@Article{JCM-21-3,
author = {Xiong-Hua, Wu and Xiu-Juan, Feng},
title = {A Numerical Method for Determining the Optimal Exercise Price to American Options},
journal = {Journal of Computational Mathematics},
year = {2003},
volume = {21},
number = {3},
pages = {305--310},
abstract = {<p style="text-align: justify;">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.</p>},
issn = {1991-7139},
doi = {https://doi.org/2003-JCM-10258},
url = {https://global-sci.com/article/85317/a-numerical-method-for-determining-the-optimal-exercise-price-to-american-options}
}