About the valuation of American option under Black-Scholes model: a numerical study

DOI10.2478/mjpaa-2023-0005MaRDI QIDQ6553747

Rajae Malek

Publication date: 11 June 2024

Published in: Moroccan Journal of Pure and Applied Analysis (Search for Journal in Brave)

zbMATH Keywords

heat equationfinite element methodBlack-Scholes modelAmerican option\(\delta\)-ziti method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Galerkin and related methods applied to problems in thermodynamics and heat transfer (80M10)

This page was built for publication: About the valuation of American option under Black-Scholes model: a numerical study