Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American Option pricing

Numerische Mathematik

Volumn 106, Issue 1, 2007, Pages 1-40

  Angermann, Lutz ^a   Wang, Song ^b  

^a CLAUSTHAL UNIVERSITY OF TECHNOLOGY   (Germany)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

65K10; 65M60; 90C33

Indexed keywords

EID: 33847644674     PISSN: 0029599X     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00211-006-0057-7     Document Type: Article

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