TY - JOUR
T1 - A Numerical Method for Determining the Optimal Exercise Price to American Options
AU - Wu , Xiong-Hua
AU - Feng , Xiu-Juan
JO - Journal of Computational Mathematics
VL - 3
SP - 305
EP - 310
PY - 2003
DA - 2003/06
SN - 21
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/jcm/10258.html
KW - American options, Free boundary, Optimal exercise price, Nonlinear equation.
AB - <p style="text-align: justify;">American options can be exercised prior to the date of expiration, the valuation of American options then constitutes a free boundary value problem. How to determine the free boundary, i.e. the optimal exercise price, is a key problem. In this paper, a nonlinear equation is given. The free boundary can be obtained by solving the nonlinear equation and the numerical results are better.</p>