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The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
Transformation methods evaluating approximations optimal exercise boundary linear nonlinear Black-Scholes equations
2010/12/17
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla opti...