A Front-Fixing Finite Element Method for the Valuation of American Options
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Publication:5320702
American optionfinite element methodfree boundary problemfront-fixing methodsolution positivitystability
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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