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A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options

โœ Scribed by Chen, Xinfu; Chadam, John

Book ID
121743612
Publisher
Society for Industrial and Applied Mathematics
Year
2007
Tongue
English
Weight
389 KB
Volume
38
Category
Article
ISSN
0036-1410

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๐Ÿ“œ SIMILAR VOLUMES

An explicit series approximation to the
An explicit series approximation to the optimal exercise boundary of American put options
โœ Jun Cheng; Song-Ping Zhu; Shi-Jun Liao ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 329 KB

This paper derives an explicit series approximation solution for the optimal exercise boundary of an American put option by means of a new analytical method for strongly nonlinear problems, namely the homotopy analysis method (HAM). The Black-Sholes equation subject to the moving boundary conditions