Dorfleitner, Gregor; Schneider, Paul; Hawlitschek, Kurt; … - In: Quantitative Finance 8 (2008) 2, pp. 119-133
We derive the Green's function for the Black-Scholes partial differential equation with time-varying coefficients and … also accommodates American style options. Greeks can be computed as derivatives of the Green's function. Generic handling … structure of the Green's function together with the well-developed tools of numerical integration make our approach fast and …