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
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 9083
- ARK ark:/12658/srd1317955
- Persistent URL
- https://n2t.net/ark:/12658/srd1317955
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