WIAS Preprint No. 1325, (2008)

Global regularity and probabilistic schemes for free boundary surfaces of multivariate American derivatives and their Greeks



Authors

  • Kampen, Jörg

2010 Mathematics Subject Classification

  • 35R35 60G46

Keywords

  • multivariate American derivatives, regularity, free boundary surfaces, probabilistic schemes, front fixing

Abstract

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.

Appeared in

  • SIAM J. Appl. Math., 71 (2011) pp. 288--308.

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