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Showing 2011 · q-fin.CPShow all
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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…