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On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
numerical approximation construction nonlinear Black-Scholes equations
2010/10/21
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method h...
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
option pricing American-style of Asian options early exercise bound-ary limiting behavior close to expiry
2010/11/3
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous divi-dend rate q and a general method of ...