A fast and highly accurate numerical method for the evaluation of American options

Dynamics of Continuous, Discrete and Impulsive Systems Series B: Application and Algorithm

Volumn 8, Issue 1, 2001, Pages 127-138

  Allegretto, Walter ^a   Lin, Yanping ^a   Yang, Hongtao ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

American option; Error estimate; Finite element method; Integral boundary condition; Variational inequality

Indexed keywords

EID: 0006346856     PISSN: 14928760     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (22)

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