Weak Galerkin finite element method for valuation of American options
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Publication:2259116
DOI10.1007/s11464-014-0358-6zbMath1307.91193OpenAlexW1982918151MaRDI QIDQ2259116
Publication date: 27 February 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-014-0358-6
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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Uses Software
Cites Work
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