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Parameter estimation approach to the free boundary for the pricing of an American call option

Title
Parameter estimation approach to the free boundary for the pricing of an American call option
Authors
Cho, CKKang, SBKim, TKwon, Y
POSTECH Authors
Kwon, Y
Date Issued
Jan-2006
Publisher
PERGAMON-ELSEVIER SCIENCE LTD
Keywords
American option; Black-Scholes equation; free boundary problem; optimal exercise curve; finite-element method; numerical result; EQUATION
URI
http://oasis.postech.ac.kr/handle/2014.oak/29540
DOI
10.1016/J.CAMWA.2006
ISSN
0898-1221
Article Type
Article
Citation
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 51, 5, 713, 720
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 KWON, YONGHOON
Dept of Mathematics
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