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Projection and Contraction Method for the Valuation of American Options - MaRDI portal

Projection and Contraction Method for the Valuation of American Options (Q5251351)

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scientific article; zbMATH DE number 6437546
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English
Projection and Contraction Method for the Valuation of American Options
scientific article; zbMATH DE number 6437546

    Statements

    title
    Projection and Contraction Method for the Valuation of American Options (English)
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    publication date
    20 May 2015
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    zbMATH Keywords
    American option
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    Black-Scholes variational inequality
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    finite element method
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    projection and contraction method
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    cites work
    Q4794127
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    Q5709400
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    Q4863379
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    Q3148123
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    Identifiers

    Mathematics Subject Classification ID
    35Q91
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    35A35
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    65K10
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    65M12
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    65M60
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    65K15
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    91G20
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    zbMATH DE Number
    6437546
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    OpenAlex ID
    W2326434215
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