On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations

Daniel Sevcovic

Papers from arXiv.org

Abstract: The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a solution of a time depending nonlinear parabolic equation defined on a fixed domain. Results of numerical computation of the early exercise boundary for various nonlinear Black--Scholes equations are also presented.

Date: 2010-09, Revised 2011-04
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Published in In: A. Bartel, M. Brunk, M. Gunther, S. Schops and M. Striebel (eds.) Proccedings of the 16th European Conference on Mathematics for Industry, July 26-30, 2010, Wuppertal, Germany, Springer Verlag, Berlin, Heidelberg, 2011

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1009.5973

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