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Analysis of exercise boundary of American interest rate option

✍ Scribed by Fa-huai Yi; Xin-ling Peng; Ying-shan Chen


Book ID
106346184
Publisher
Springer
Year
2008
Tongue
English
Weight
322 KB
Volume
29
Category
Article
ISSN
0253-4827

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An explicit series approximation to the
✍ Jun Cheng; Song-Ping Zhu; Shi-Jun Liao πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 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