Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements

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Publication:2007600

DOI10.1016/j.amc.2018.06.028zbMath1429.91345OpenAlexW2888433593MaRDI QIDQ2007600

Andreas Stahel, Sofiane Madi, Mohamed Cherif Bouras, Mohamed Haiour

Publication date: 22 November 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2018.06.028




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