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

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

2008-07-07

arxiv.org/abs/0807.1066v2

Mathematics

Functional Analysis

Scientific paper

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. Convergence is closely linked to a proof of global
regularity of the free boundary surface.

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