Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (Q2007600)
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scientific article; zbMATH DE number 7135022
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| English | Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements |
scientific article; zbMATH DE number 7135022 |
Statements
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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0.8286097049713135
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0.8215450048446655
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