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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...
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...