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1. Numerical Determination of the Right Boundary Condition for Regime–Switching Models of European Options from Point Observations.

Author

Georgiev, Slavi G. and Vulkov, Lubin G.

Subjects
*NUMERICAL solutions to boundary value problems, *OPTIONS (Finance), *ALGORITHMS, *INVERSE problems, *BLACK-Scholes model
Abstract

This paper is devoted to develop a robust numerical algorithm to solve inverse problems of determining the right boundary conditions according to measurements inside a truncated domain for regime-switching models of European options. Difference schemes on Tavella-Randall grids are derived. We propose and discuss results of computational experiments for a several European options. [ABSTRACT FROM AUTHOR]

Published
2018
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