<t>Could someone help me choose an initial guess for an PSOR algorithm for american options, wilmott and Denwyne choose x(0) = max(h(m+1,n);theta(m,n)) in their paper:asian options as linear complementarity problems: analysis and finite diffrence solutions, on page 168. My problem is that both h(m+1...

Can anyone please help with a pdf of the following article: Zhu Y.-I., Y. Sun 'The Singularity-Separating Method for Two-Factor Convertible Bonds' J. Comp. Finance Fall 99 ...

yes i did check...my university only has a vol 2 instead of 8. Its is quite expensive for me in the link you gave me

Can anyone help me find the following article: J.N. Dewynne and P.Wilmott, Asian options as linear complementarity problems: analysis and finite difference solutions. I cant even find it on Google, as in where I can purchase it as an electronic copy.

<t>/ /Regarding the 2d system to be solved,/ /Maybe I'm mistaken, why is it regarded as a 2-D equation, because as I understand it, its actually 3-D. And that is my main problem when it comes to developing a scheme for calculating the moving boundary. The 2-D case -(t,S), seems rather straightforwar...

Thanks Cuchulainn, because i have been dreading the 2D equation...i will attempt the 2D with a geometrical averaging,

<r>I am also trying to do the same thing - that is, pricing an american asian using finite differences. The approach im using is to reduce the dimenstionality of the governing asian pde according to the following paper:<URL url="http://www.math.ust.hk/~maykwok/piblications/Yuasian.pdf"><LINK_TEXT te...