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Listar por palabra clave "American call option pricing"

Mostrando ítems 1-1 de 1

Constructing positive reliable numerical solution for American call options: a new front-fixing approach

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2016-01)

[EN] A new front-fixing transformation is applied to the Black Scholes equation for the American call option pricing problem. The transformed non-linear problem involves homogeneous boundary conditions independent of the ...

Mostrando ítems 1-1 de 1