Numerical Contour Integral Methods for Free-Boundary Partial Differential Equations Arising in American Volatility Options Pricing
Work
Year: 2018
Type: article
Abstract: The aim of this paper is to study the numerical contour integral methods (NCIMs) for solving free-boundary partial differential equations (PDEs) from American volatility options pricing. Firstly, the ... more
Authors Yong Chen, Jianjun Ma
Institutions Southwestern University of Finance and Economics, Sichuan International Studies University
Cites: 21
Cited by:
Related to: 10
FWCI:
Citation percentile (by year/subfield):
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: gold
APC paid (est): $2,300