%0 Journal Article
%T On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
%A Daniel Sevcovic
%J Quantitative Finance
%D 2010
%I arXiv
%X The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method how to transform the problem into a solution of a time depending nonlinear parabolic equation defined on a fixed domain. Results of numerical computation of the early exercise boundary for various nonlinear Black--Scholes equations are also presented.
%U http://arxiv.org/abs/1009.5973v2