A new approach to check the free boundary of single factor interest rate put option
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Allegretto, Walter
Department of Mathematical Sciences, University of Alberta
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Barone-Adesi, Giovanni
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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Dinenis, Elias
City University Business School, City University Business School, London, United Kingdom
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Lin, Yangpin
Department of Mathematical Sciences, University of Alberta
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Sorwar, Ghulam
City University Business School, City University Business School, London, United Kingdom
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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.
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Language
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Classification
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Economics
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License
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License undefined
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Identifiers
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RERO DOC
9083
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ARK
ark:/12658/srd1317955
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Persistent URL
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https://n2t.net/ark:/12658/srd1317955
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