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

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+Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
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+Option pricing: A simplified approach
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+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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+A Fast Numerical Method for the Black--Scholes Equation of American Options
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+Variational inequalities and the pricing of American options
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Monte Carlo valuation of American options
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+A Front-Fixing Finite Element Method for the Valuation of American Options
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