On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations

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 how to transform the problem into a solution of a time depending nonlinear parabolic equation defined on a fixed domain. Results of numerical computation of the early exercise boundary for various nonlinear Black--Scholes equations are also presented.

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Year of publication:	2010-09
Authors:	Sevcovic, Daniel
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in In: A. Bartel, M. Brunk, M. Gunther, S. Schops and M. Striebel (eds.) Proccedings of the 16th European Conference on Mathematics for Industry, July 26-30, 2010, Wuppertal, Germany, Springer Verlag, Berlin, Heidelberg, 2011
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008678255