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Solving the American Put Financial Derivative using Differential Equations and Integration
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| Organization: | University of Western Sydney |
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2004 International Mathematica Symposium
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Banff, Canada
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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.
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American Put Financial Derivative, American options
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