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3 papers · 1 filter
q-fin.CP2011
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
J. D. Kandilarov, D. Sevcovic
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain tra…
q-fin.CP2011
Sensitivity analysis of the early exercise boundary for American style of Asian options
Daniel Sevcovic, Martin Takac
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlyin…
q-fin.CP2010★ 17 cited
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Martin Lauko, Daniel Sevcovic
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary…