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Corrigendum for the comparison theorem in "A new definitions for a class of integro-differential equatons"
Corrigendum comparison theorem "A new definitions class of integro-differential equatons"
2011/1/21
In this note, we shall present the correction of the proofs of the compar-ison results in the paper [1]. In order to show clearly the correct way of the demonstration, we shall simplify the problem to...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
option pricing American put option early exercise bound-ary limiting behavior close to expiry
2010/4/27
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put...