A Front-Fixing Finite Element Method for the Valuation of American Options (Q5320702)
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scientific article; zbMATH DE number 5582058
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| English | A Front-Fixing Finite Element Method for the Valuation of American Options |
scientific article; zbMATH DE number 5582058 |
Statements
A Front-Fixing Finite Element Method for the Valuation of American Options (English)
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22 July 2009
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American option
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free boundary problem
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front-fixing method
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finite element method
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stability
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solution positivity
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0.9054755568504332
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0.8837555646896362
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0.8587570786476135
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