Ali Foroush Bastani

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In this paper, we present a new method for the approximation of transparent boundary conditions, when solving the American option pricing problem in financial mathematics. Using the standard change of variables cited in [1], the free boundary value problem for pricing American options is equivalent to the following problem: (1) where g(x, τ) = e −αx−βτ(More)
In this paper, we present an adaptive multiple-shooting method to solve stochastic multi-point boundary value problems. We first analyze the strong order of convergence of the underlying multiple shooting method. We then proceed to describe the proposed strategy to adaptively choose the location of shooting points. We analyze the effect of method parameters(More)
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