Numerical Contour Integral Methods for Free-Boundary Partial Differential Equations Arising in American Volatility Options Pricing
The aim of this paper is to study the numerical contour integral methods (NCIMs) for solving free-boundary partial differential equations (PDEs) from American volatility options pricing. Firstly, the governing free-boundary PDEs are modified as a unified form of PDEs on the fixed space region; then...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/1838521 |
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