scientific article; zbMATH DE number 6164554

zbMath1263.91052MaRDI QIDQ4920584

Anthony David Holmes, Hongtao Yang

Publication date: 21 May 2013

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume9.htm

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

zbMATH Keywords

finite element methodfree boundary problemAmerican put optionzero-coupon bondfront-fixing method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (1)

A front‐fixing method for American option pricing on zero‐coupon bond under the Hull and White model

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