Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (Q2007600)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements |
scientific article; zbMATH DE number 7135022
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements |
scientific article; zbMATH DE number 7135022 |
Statements
Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements (English)
0 references
22 November 2019
0 references
finite element method
0 references
American option
0 references
Brennan-Schwartz
0 references
parabolic variational inequalities
0 references
