Parameter estimation approach to the free boundary for the pricing of an american call option
Computers & Mathematics with Applications（2006）
摘要
The FETI-DP method is a substructuring method that uses Lagrange multipliers to match the continuity condition on the subdomain boundaries. For the FETI-DP method on non-matching grids, two different formulations are known with respect to how to employ ...
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关键词
numerical result,optimal exercise curve,continuity condition,non-matching grid,subdomain boundary,finite-element method,american call option,black-scholes equation,free boundary problem,lagrange multiplier,free boundary,american option,feti-dp method,parameter estimation approach,substructuring method,different formulation,finite element method,black scholes equation,parameter estimation
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