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- ItemGlobal regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2008) Kampen, JörgIn a rather general setting of multivariate stochastic volatility market models we derive global iterative probabilistic schemes for computing the free boundary and its Greeks for a generic class of American derivative models using front-fixing methods. Establishment of convergence is closely linked to a proof of global regularity of the free boundary surface.