1 results
Search Results
Now showing 1 - 1 of 1
Loading...
Item
Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
2008, Kampen, Jörg
In 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.