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Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks

Please always quote using this URN:urn:nbn:de:0296-matheon-5150
  • 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.

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Metadaten
Author:Joerg Kampen
URN:urn:nbn:de:0296-matheon-5150
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2008/05/28
Release Date:2008/05/26
Tag:
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:35-XX PARTIAL DIFFERENTIAL EQUATIONS / 35Rxx Miscellaneous topics (For equations on manifolds, see 58Jxx; for manifolds of solutions, see 58Bxx; for stochastic PDE, see also 60H15) / 35R35 Free boundary problems
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G46 Martingales and classical analysis
Preprint Number:510
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