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Information Seminar Paper

Title

EFFICIENT SOLUTION OF A FREE BOUNDARY VALUE PROBLEM IN FINANCE

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  -

Abstract

 IN THE FINANCIAL DERIVATIVE MARKETS, THE GREAT IMPORTANCE SHOULD BE GIVEN TO THE EVALUATION OF THE PRICING OF THE OPTIONS. DUE TO THIS, THE PROBLEM OF PRICING AMERICAN OPTIONS UNDER THE JUMP-DIFFUSION MODEL IS CONSIDERED. THEREFORE, FIRST, THE PRICING AMERICAN OPTIONS WAS SHOWN AS A FREE BOUNDARY VALUE PROBLEM FOR A PARTIAL INTEGRO-DIFFERENTIAL EQUATION , THEN AN EFFICIENT NUMERICAL METHOD FOR SOLVING THE FREE BOUNDARY VALUE PROBLEM IS DISCUSSED.

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    APA: Copy

    NEISY, ABDOLSADEH. (2012). EFFICIENT SOLUTION OF A FREE BOUNDARY VALUE PROBLEM IN FINANCE. ANNUAL IRANIAN MATHEMATICS CONFERENCE. SID. https://sid.ir/paper/926555/en

    Vancouver: Copy

    NEISY ABDOLSADEH. EFFICIENT SOLUTION OF A FREE BOUNDARY VALUE PROBLEM IN FINANCE. 2012. Available from: https://sid.ir/paper/926555/en

    IEEE: Copy

    ABDOLSADEH NEISY, “EFFICIENT SOLUTION OF A FREE BOUNDARY VALUE PROBLEM IN FINANCE,” presented at the ANNUAL IRANIAN MATHEMATICS CONFERENCE. 2012, [Online]. Available: https://sid.ir/paper/926555/en

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