A Front-Fixing Finite Element Method for the Valuation of American Options

DOI10.1137/070694442zbMath1170.91383OpenAlexW2055918237MaRDI QIDQ5320702

Anthony David Holmes, Hongtao Yang

Publication date: 22 July 2009

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://digitalscholarship.unlv.edu/thesesdissertations/1023

zbMATH Keywords

stabilityfinite element methodfree boundary problemAmerican optionfront-fixing methodsolution positivity

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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