Presenter(s)

    Junyao Zhang

    Download

    Download Project (150 KB)

    Description

    A numerical algorithm is developed to produce a numerical solution of a boundary value problem for the Black-Scholes partial differential equation on a certain region that includes a free boundary. In this algorithm, an artificial boundary is introduced and a method to find the free boundary is developed. This algorithm is introduced by H. Han and X.Wu, A Fast Numerical Method for the Black-Scholes Equation of American Option, SIAM J. Numer. Anal., 41 (2003), pp. 2081-2095.

    Publication Date

    4-18-2012

    Project Designation

    Graduate Research

    Primary Advisor

    Paul W. Eloe

    Primary Advisor's Department

    Mathematics

    Keywords

    Stander Symposium project

    Numerical Algorithm to Value American Call Option

    Share

    COinS