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Solving the American Put Financial Derivative using Differential Equations and Integration

Michael Kelly
Organization: University of Western Sydney

2004 International Mathematica Symposium
Conference location

Banff, Canada

This papers describes how Mathematica may be used to solve partial differential equations relevant to American options. Particular emphasis is placed on the way in which the in-built functions NDSolve[.] and NIntegrate[.] may be used in the context of the free boundary problems which arise from the analysis of American options.

*Applied Mathematics > Numerical Methods
*Business and Economics
*Mathematics > Calculus and Analysis > Calculus
*Mathematics > Calculus and Analysis > Differential Equations

American Put Financial Derivative, American options
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