scientific article; zbMATH DE number 2104606

zbMath1104.91033MaRDI QIDQ4818715

Min Dai, Li-Shang Jiang

Publication date: 1 October 2004

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

viscosity solutionnumerical analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Multistage and repeated games (91A20)

Related Items (6)

Convergence rate of free boundary of numerical scheme for American option ⋮ Optimal convergence rate of the explicit finite difference scheme for American option valuation ⋮ Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow ⋮ Error estimates for backward Euler finite element approximations of American call option valuation ⋮ On the rate of convergence of the binomial tree scheme for American options ⋮ Superconvergence estimates of finite element methods for American options

This page was built for publication: