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

Title
Parameter estimation approach to the free boundary for the pricing of an American call option
Authors
Cho, CKKang, SBKim, TKwon, Y
Date Issued
2006-03
Publisher
PERGAMON-ELSEVIER SCIENCE LTD
Abstract
In this paper, we consider a free boundary problem which arises in the pricing of an American call option. The free boundary represents the optimal exercise price as a function of time before a maturity date. We are developing a parameter estimation technique to obtain both the optimal exercise curve of an American call option and its price. For the numerical solution of a forward problem, a time marching finite element method is adopted. Numerical experiment shows the convergence property of the approximation scheme. (C) 2006 Elsevier Ltd. All rights reserved.
Keywords
American option; Black-Scholes equation; free boundary problem; optimal exercise curve; finite-element method; numerical result; EQUATION
URI
https://oasis.postech.ac.kr/handle/2014.oak/29540
DOI
10.1016/j.camwa.2006.03.009
ISSN
0898-1221
Article Type
Article
Citation
COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol. 51, no. 5, page. 713 - 720, 2006-03
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권용훈KWON, YONGHOON
Dept of Mathematics
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