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Listar por palabra clave "Free boundary"

Mostrando ítems 1-2 de 2

A New Efficient Numerical Method for Solving American Option under Regime Switching Model

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

[EN] A system of coupled free boundary problems describing American put option pricing under regime switching is considered. In order to build numerical solution firstly a front-fixing transformation is applied. Transformed ...
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

Egorova, Vera; Tan, Shih-Hau; Lai, Choi-Hong; Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio (Taylor & Francis, 2017)

[EN] The pricing of American call option with transaction cost is a free boundary problem. Using a new transformation method the boundary is made to follow a certain known trajectory in time. The new transformed problem is ...

Mostrando ítems 1-2 de 2