In this paper, we present front-fixing finite difference schemes for numerical approximation of American put options model formulated as free boundary problem.
Front fixing finite difference schemes for American put options model
FAZIO, Riccardo;INSANA, ALESSANDRA;JANNELLI, Alessandra
2016-01-01
Abstract
In this paper, we present front-fixing finite difference schemes for numerical approximation of American put options model formulated as free boundary problem.File in questo prodotto:
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