Asymptotic expansion of solutions to the Black-Scholes...

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Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

Kazemi, Seyed-Mohammad-Mahdi, Dehghan, Mehdi, Bastani, Ali Foroush
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Language:
english
Journal:
Journal of Computational and Applied Mathematics
DOI:
10.1016/j.cam.2016.06.033
Date:
July, 2016
File:
PDF, 1.33 MB
english, 2016
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