An explicit series approximation to the optimal exercise boundary of American put options

Communications in Nonlinear Science and Numerical Simulation

Volumn 15, Issue 5, 2010, Pages 1148-1158

  Cheng, Jun ^a,b   Zhu, Song Ping ^c   Liao, Shi Jun ^b  

^a SHANGHAI UNIVERSITY   (China)

^b Shanghai Jiao Tong University   (China)

^c UNIVERSITY OF WOLLONGONG   (Australia)

Author keywords

American put option; Homotopy analysis method; Moving boundary problems; Optimal exercise boundary

Indexed keywords

AMERICAN PUT OPTION; ANALYSIS METHOD; ANALYTICAL METHOD; APPROXIMATION SOLUTION; HOMOTOPY ANALYSE METHOD; HOMOTOPY ANALYSIS; MOVING BOUNDARY PROBLEMS; OPTIMAL EXERCISE BOUNDARY; SERIES APPROXIMATIONS; STRONGLY NONLINEAR;

NUMERICAL METHODS;

EID: 70449097487     PISSN: 10075704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cnsns.2009.05.055     Document Type: Article

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