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MathematicsEngineering

Using meshfree approximation for multi‐asset American options

G. Fasshauer, A. Khaliq, D. Voss

2004.6.1JOURNAL OF THE CHINESE INSTITUTE OF ENGINEERS

DOI: 10.1080/02533839.2004.9670904

tlooto Summary

A penalty method which allows us to remove the free and moving boundary by adding a small and continuous penalty term to the Black‐Scholes equation is considered.

Abstract

Abstract is not available.

Citation format

FASSHAUER, G.; KHALIQ, A.; VOSS, D. Using meshfree approximation for multi‐asset american options. JOURNAL OF THE CHINESE INSTITUTE OF ENGINEERS, 2004, 27: 563–571.