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Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions

โœ Scribed by Bayraktar, Erhan; Xing, Hao

Book ID
118197715
Publisher
Society for Industrial and Applied Mathematics
Year
2009
Tongue
English
Weight
408 KB
Volume
41
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