Smooth pasting

Smooth pasting (also called high-contact condition) is a kind of boundary condition used to model the American option.[1] It tells that the American option value is maximized by an exercise strategy that makes the option value and option delta continuous. [2]

References
  1. Seydel, pp. 143–145.
  2. Wilmott, pp. 154–155.
Sources
  • Seydel, Rüdiger. Tools for Computational Finance. pp. 143–145. ISBN 3-540-40604-2.
  • Wilmott, Paul. Paul Wilmott on Quantitative Finance. Wiley. pp. 154–155. ISBN 0-470-01870-4.


This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.