Finite Difference Approximation for Pricing the American Lookback Option
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Publication:5897157
DOI10.4208/jcm.2009.27.4.015zbMath1199.65081MaRDI 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
65N30: Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs
41A63: Multidimensional problems
41A55: Approximate quadratures
65D32: Numerical quadrature and cubature formulas
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