GLOBAL REGULARITY AND PROBABILISTIC SCHEMES FOR FREE BOUNDARY SURFACES OF MULTIVARIATE AMERICAN DERIVATIVES AND THEIR GREEKS

GLOBAL REGULARITY AND PROBABILISTIC SCHEMES FOR FREE BOUNDARY SURFACES OF MULTIVARIATE AMERICAN DERIVATIVES AND THEIR GREEKS

In a rather general setting of multivariate diffusion market models we derive global iterative probabilistic schemes for computing the free boundary and the Greeks for a generic class of American derivative models using front-fixing methods. The convergence of the scheme is closely linked to a proof...

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Veröffentlicht in:SIAM journal on applied mathematics 2011-01, Vol.71 (1), p.288-308
1. Verfasser: KAMPEN, JÖRG
Format: Artikel
Sprache:eng
Schlagworte:
American option
Banach space
Boundaries
Boundary conditions
Cauchy problem
Coefficients
Convergence
Derivatives
Differential equations
Diffusion
Ellipticity
Free boundaries
Mathematical models
Mathematics
Monte Carlo methods
Probabilistic methods
Probability
Probability theory
Regularity
Stochastic models
Studies
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Beschreibung
Zusammenfassung:In a rather general setting of multivariate diffusion market models we derive global iterative probabilistic schemes for computing the free boundary and the Greeks for a generic class of American derivative models using front-fixing methods. The convergence of the scheme is closely linked to a proof of global regularity of the free boundary surface.
ISSN:0036-1399
1095-712X
DOI:10.1137/080731086