Front-Tracking Finite Difference Methods for the Valuation of American Options

Computational Economics

Volumn 12, Issue 3, 1998, Pages 255-273

  Pantazopoulos, K N ^a   Houstis, E N ^a   Kortesis, S ^b  

^a Purdue University   (United States)

^b ARISTOTLE UNIVERSITY OF THESSALONIKI   (Greece)

Author keywords

American option valuation; Finite difference method; Free boundary problems; Front tracking methods; Option pricing

Indexed keywords

EID: 0013448176     PISSN: 09277099     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1008695215988     Document Type: Article

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