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A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems

  • Erhan Bayraktar
  • Arash Fahim

We present a stochastic numerical method for solving fully non-linear free boundary problems of parabolic type and provide a rate of convergence under reasonable conditions on the non-linearity.

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File URL: http://arxiv.org/pdf/1109.5752
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Paper provided by arXiv.org in its series Papers with number 1109.5752.

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Date of creation: Sep 2011
Date of revision: Nov 2013
Handle: RePEc:arx:papers:1109.5752
Contact details of provider: Web page: http://arxiv.org/

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  1. Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, vol. 2(3), pages 215-258.
  2. Erhan Bayraktar & Yu-Jui Huang, 2010. "On the Multi-Dimensional Controller and Stopper Games," Papers 1009.0932, arXiv.org, revised Jan 2013.
  3. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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