TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS

Samaneh Bani Asadi; Azim Rivaz

Volume 1, Issue 1 , March 2021, , Pages 145-155

https://doi.org/10.22054/jmmf.2020.56197.1017

Abstract
  The European option can be exercised only at the expiration date while an American option can be exercised on or at any time before the expiration date.In this paper, we will study the numerical solutions of a class of complex partial differential equations (PDE) systems with free boundary conditions. ...  Read More