期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2014
卷号：2
期号：4
页码：102
DOI：10.5539/ijef.v2n4p102
语种：English
出版社：Canadian Center of Science and Education
摘要：The aim of this paper is to solve a free boundary problem arising in pricing American put options. It is known that the free boundary (optimal exercise boundary) satisfies a “nonstandard” Volterra integral equation. This Volterra integral equation is resolved by a high-order collocation method based on graded meshes. With the computed free boundary, a Black-Scholes equation for pricing the American put options is solved by a moving mesh method. Numerical examples are provided to confirm the efficiency of the approach.
