Efficient treatment of stationary free boundary problems

Authors:
Karsten Eppler;Helmut Harbrecht
Affiliations:
Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany;Institute of Computer Science and Applied Mathematics, Christian-Albrechts-University of Kiel, Kiel, Germany and Department of Mathematics, Unviersity of Utrecht, The Netherlands
Venue:
Applied Numerical Mathematics - Selected papers from the first Chilean workshop on numerical analysis of partial differential equations (WONAPDE 2004)
Year:
2006

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Abstract

Asian options prices can be modelled in the Black-Scholes framework leading to two-factor models depending on the asset price, the average of the asset price and the time. They can also involve inequality constraints, as in the case of Amerasian options, ...