Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks
- Kampen, Jörg
2010 Mathematics Subject Classification
- 35R35 60G46
- multivariate American derivatives, regularity, free boundary surfaces, probabilistic schemes, front fixing
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. Establishment of convergence is closely linked to a proof of global regularity of the free boundary surface.
- SIAM J. Appl. Math., 71 (2011) pp. 288--308.