Finite volume methods for the valuation of American options

DOI10.1051/M2AN:2006011zbMath1137.91427OpenAlexW2001506566MaRDI QIDQ3428051

Julien Berton, Robert Eymard

Publication date: 27 March 2007

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=M2AN_2006__40_2_311_0

zbMATH Keywords

finite volume methodvariational inequalityconvergence of numerical schemeAmerican option

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Related Items (4)

A general error estimate for parabolic variational inequalities ⋮ Unnamed Item ⋮ PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS ⋮ Error estimates for backward Euler finite element approximations of American call option valuation

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• Parabolic ADI Methods for Pricing American Options on Two Stocks

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