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Media type:
E-Article
Title:
A NUMERICAL METHOD FOR DETERMINING THE OPTIMAL EXERCISE PRICE TO AMERICAN OPTIONS
Contributor:
Wu, Xiong-hua;
Feng, Xiu-juan
imprint:
Institute of Computational Mathematices and Scientific/Engineering Computing(ICMSEC) Chinese Academy of Sciences, 2003
Published in:Journal of Computational Mathematics
Language:
English
ISSN:
0254-9409;
1991-7139
Origination:
Footnote:
Description:
<p>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>