Finite Difference Approximation for Pricing the American Lookback Option
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Publication:5897157
DOI10.4208/jcm.2009.27.4.015zbMath1199.65081OpenAlexW2076865563MaRDI QIDQ5897157
Publication date: 12 February 2010
Published in: Journal of Computational Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/jcm.2009.27.4.015
Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)
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