T. S. Papatheodorou, M. D. Koulisianis, P. E. Hadjidoukas  Home/Search
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Abstract: This paper addresses the problem of American Option Valuation, formulated as a moving boundary parabolic problem. We introduce a general approach, that is applicable with any valid discretization method for fixed-boundary problems that uses a one-step procedure in time, as it is normally the case with all methods of practical significance. No padding is used i.e. only grid points that belong to the problem are used for the calculation in each time step. Each method for fixed boundary can be... (Update)
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BibTeX entry: (Update)
@misc{ papatheodorou-numerical,
author = "T. S. Papatheodorou and M. D. Koulisianis and P. E. Hadjidoukas",
title = "Numerical methods for the American Option Valuation Problem",
url = "citeseer.ist.psu.edu/577976.html" }
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