A finite volume element method for American options

MaRDI QIDQ2859757zbMATH OpenFDO

Authors Zhiguang Li, Shugui Kang

Publication date 19 November 2013

Published in Journal of Systems Science and Mathematical Sciences (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes modelfinite volume element methodoption pricing

Mathematics Subject Classification ID

Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(18)

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