Front-fixing FEMs for the pricing of American options based on a PML technique (Q5249951): Difference between revisions

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Latest revision as of 01:33, 10 July 2024

scientific article; zbMATH DE number 6435649
Language Label Description Also known as
English
Front-fixing FEMs for the pricing of American options based on a PML technique
scientific article; zbMATH DE number 6435649

    Statements

    Front-fixing FEMs for the pricing of American options based on a PML technique (English)
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    13 May 2015
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    American option pricing
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    front-fixing
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    perfectly matched layer
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    optimal exercise boundary
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    discontinuous Galerkin discretization
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