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, CK; Kang, SB; Kim, T; Kwon, 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
- Files in This Item:
- There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.