Front-fixing FEMs for the pricing of American options based on a PML technique (Q5249951)
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scientific article; zbMATH DE number 6435649
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Front-fixing FEMs for the pricing of American options based on a PML technique |
scientific article; zbMATH DE number 6435649 |
Statements
Front-fixing FEMs for the pricing of American options based on a PML technique (English)
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13 May 2015
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American option pricing
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front-fixing
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perfectly matched layer
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optimal exercise boundary
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discontinuous Galerkin discretization
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