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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.
Paul W. Eloe
Primary Advisor's Department
Stander Symposium project
"Numerical Algorithm to Value American Call Option" (2012). Stander Symposium Projects. 187.