On stability and convergence of a finite difference approximation to a parabolic variational inequality arising from American option valuation

Stochastic Analysis and Applications

Volumn 24, Issue 6, 2006, Pages 1185-1204

  Wang, Guanghui ^a   Wang, Song ^b  

^a STATE KEY LABORATORY OF SEVERE WEATHER   (China)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

American option pricing; Complementarity problem; Degenerate parabolic PDE; Finite difference method

Indexed keywords

EID: 33845208430     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990600958952     Document Type: Article

References (14)

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