Smooth pasting
{{Short description|Boundary condition}}
{{context|date=October 2009}}
Smooth pasting (also called high-contact condition) is a kind of boundary condition used to model the American option.{{Sfn|Seydel|pp=143–145}}
It tells that the American option value is maximized by an exercise strategy that makes the option value and option delta continuous. {{Sfn|Wilmott|pp=154–155}}
References
{{Reflist}}
;Sources
- {{cite book
| last = Seydel
| first = Rüdiger
| title = Tools for Computational Finance
| publisher =
| date =
| pages = 143–145
| isbn = 3-540-40604-2}}
- {{cite book
| last = Wilmott
| first = Paul
| title = Paul Wilmott on Quantitative Finance
| publisher = Wiley
| date =
| pages = 154–155
| isbn = 0-470-01870-4}}
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