TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS
The European option can be exercised only at the expiration date while an American option can be exercised on or at any time before the expiration date.In this paper, we will study the numerical solutions of a class of complex partial differential equations (PDE) systems with free boundary conditions...
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2021-03-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_11920_e1b8c57f0795ecd9550905c75ca5942d.pdf |