Created using code from Dmitri Krasnov's and Mike Fisher's class project for the course "Free Boundary Problems in Finance, Spring 2001"

This page is under development. But here are some samples of things to come.


  • Free boundary of call with continuous dividend on one asset (Fisher, based on Ju-Zhang approximation)


  • Free boundary of Put (Fisher, based on Ju-Zhang approximation)


  • Call on the average of two assets (Krasnov, based on Boyle-Tan method)


  • Call on the maximum of two assets (Krasnov)


  • Call on the spread between two assets (Krasnov)