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Finite volume methods for the valuationof American options
Published online by Cambridge University Press: 21 June 2006
Abstract
We consider the use of finite volume methods for the approximation of aparabolic variational inequality arising in financial mathematics.We show, under some regularityconditions, the convergence of the upwind implicit finite volume schemeto a weak solution of the variational inequality in a bounded domain.Some results, obtained in comparison with other methodson two dimensional cases, show that finite volume schemes can be accurate and efficient.
- Type
- Research Article
- Information
- ESAIM: Mathematical Modelling and Numerical Analysis , Volume 40 , Issue 2 , March 2006 , pp. 311 - 330
- Copyright
- © EDP Sciences, SMAI, 2006
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