Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (Q2007600)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements |
scientific article |
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Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (English)
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22 November 2019
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finite element method
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American option
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Brennan-Schwartz
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parabolic variational inequalities
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