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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...
A finite dimensional approximation for pricing moving average options
pricing moving average
2010/12/13
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimension...