Was wondering if there is a Mathematica example solving the free boundary condition for American Option using NDSolveValue (free boundary condition is continue to hold v.s. early exercise of the option)...
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$\begingroup$ Do you mean to solve the Heston PDE with American call option like this one sciencedirect.com/science/article/abs/pii/S0378475420301816 ? We have discussed one example on mathematica.stackexchange.com/questions/239778/… $\endgroup$– Alex TrounevCommented May 1, 2021 at 18:28
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