A1095
Title: Solution of fixed and free boundary problems for financial derivatives: An embedding approach
Authors: Mariano Rodrigo - University of Wollongong (Australia) [presenting]
Abstract: In several recent articles, the embedding approach was used to analytically and numerically solve fixed and free boundary problems for single-layer and multilayer problems for the heat equation. The purpose is to examine how the embedding approach can be adapted for similar problems arising in the pricing of financial derivatives.
