Preprint

A new approach to check the free boundary of single factor interest rate put option

  • Allegretto, Walter Department of Mathematical Sciences, University of Alberta
  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
  • Dinenis, Elias City University Business School, City University Business School, London, United Kingdom
  • Lin, Yangpin Department of Mathematical Sciences, University of Alberta
  • Sorwar, Ghulam City University Business School, City University Business School, London, United Kingdom
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    2000

30 p.

English The application of Green’s theorem to free boundary problems in option pricing leads to a new metric to measure numerical errors. Free boundaries for a variety of interest rate models are computed more accurately through minimization of our metric.
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 9083
Persistent URL
https://susi.usi.ch/usi/documents/317955