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Parameter estimation approach to the free boundary for the pricing of an american call option
- Source :
-
Computers & Mathematics with Applications . Feb2006, Vol. 51 Issue 5, p713-720. 8p. - Publication Year :
- 2006
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 08981221
- Volume :
- 51
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- Computers & Mathematics with Applications
- Publication Type :
- Academic Journal
- Accession number :
- 21752114
- Full Text :
- https://doi.org/10.1016/j.camwa.2006.03.009