On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation (Q3423712)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation |
scientific article |
Statements
On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation (English)
0 references
15 February 2007
0 references
American option pricing
0 references
complementarity problem
0 references
degenerate parabolic PDE
0 references
finite difference method
0 references
0 references
0 references
0 references
