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Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry.
Seyed-Mohammad-Mahdi Kazemi
Mehdi Dehghan
Ali Foroush Bastani
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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option pricing
black scholes
numerical methods
stock price
decision analysis
fuzzy numbers
financial markets
stock exchange
real option
differential equations
capital budgeting
black scholes model
long term
evolutionary algorithm
decision support system
decision makers
decision making