Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
Kampen, Joerg
Original · EN
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. Convergence is closely linked to a proof of global regularity of the free boundary surface.
English translation
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