Numerical Determination of Time-Dependent Volatility for American Option When the Optimal Exercise Boundary Is Known
Author:
Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-56208-2_48
Reference16 articles.
1. Company, R., Egorova, V.N., Jódar, L.: Solving American option pricing models by the front fixing method: numerical analysis and computing. In: Abstract and Applied Analysis (2014). Article ID 146745
2. Deng, Z.C., Hon, Y.C., Isakov, V.: Recovery of the time-dependent volatility in option pricing model. Inv. Probl. 32(11), 115010 (2016)
3. Ehrhardt, M., Mickens, R.: A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Int. J. Theoret. Appl. Finance 11(5), 471–501 (2008)
4. Studies in Computational Intelligence;S Georgiev,2021
5. Georgiev, S.G., Vulkov, L.G.: Fast reconstruction of time-dependent market volatility for European options. Comp. Appl. Math. 40, 30 (2021)
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