楼主: xiaobingsen
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[英语] value-matching condition翻译 [推广有奖]

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xiaobingsen 发表于 2015-2-23 16:21:17 |AI写论文

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By using the approximation (11.1), we have managed to reduce the number of integral dimensions from four to two as we
have explicitly simplified two integrals with respect to w1 and w2 appearing in Eq. (10.5). The simplified version of the early
exercise premium component enhances computational speed of our numerical scheme for finding both the early exercise
boundary and the corresponding option price as the resulting equation is now independent of the modified Bessel functions
which tends to consume much computational time. Given the approximation in Eq. (11.1), the value-matching condition can
also be expressed as
QQ图片20150223161917.png

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关键词:condition matching dition Ching value simplified enhances equation version finding

QQ图片20150223162043.png (6.19 KB)

QQ图片20150223162043.png

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