Y. Chung Hong and X. Zhong Mao, A radical basis function method for solving options pricing models, The Journal of Financial Engineering, vol. 8, 1 (1999).  Home/Search   Document Not in Database   Summary   Related Articles

....74S05, 74S20, 91B02, 34K28. 1 Introduction This paper addresses the general problem of developing and evaluating ecient techniques and environments for the solution of the American Option Valuation Problem. Considerable research e ort has been dedicated recently in this direction see e.g. [1, 2, 3, 4, 7, 5, 9]. The problem admits several mathematical formulations. We focus on the moving boundary formulation and, to x the ideas, on the put case. We introduce a general approach for front tracking that works with any practical method used for xed boundaries and presents several advantages. It allows for ....

Y. Chung Hong and X. Zhong Mao, A radical basis function method for solving options pricing models, The Journal of Financial Engineering, vol. 8, 1 (1999).

Online articles have much greater impact   More about CiteSeer.IST   Add search form to your site   Submit documents   Feedback  

CiteSeer.IST - Copyright Penn State and NEC