Asymptotic approximation of the free boundary for the American Put near expiry

Walter Bales, University of Texas at El Paso

Abstract

An introduction to boundary value problems for the heat operator will focus on the Dirichlet and Neumann problems in bounded domains. Following an overview of the basic financial principles of derivative securities, a derivation of the Black-Scholes formulae is given. The valuation of commodity options is then discussed. Partial differential equations as free boundary problems are then applied to valuation of the American Put option. A method of solution to this problem close to expiry is investigated. ^

Subject Area

Mathematics|Economics, Finance

Recommended Citation

Bales, Walter, "Asymptotic approximation of the free boundary for the American Put near expiry" (2009). ETD Collection for University of Texas, El Paso. AAI1465237.
http://digitalcommons.utep.edu/dissertations/AAI1465237

Share

COinS