| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482325 | Physica A: Statistical Mechanics and its Applications | 2005 | 6 Pages |
Abstract
There exists a non-closed formula for the American put option price and non-trivial computations are required to solve it. Strong efforts have been made to propose efficient numerical techniques but few have strong mathematical reasoning to ascertain why they work well. We present an extension of the American put price aiming to catch weaknesses of the numerical methods based on their non-fulfillment of the smooth pasting condition.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Hans-Peter Bermin, Arturo Kohatsu-Higa, Josep Perelló,