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convergence of numerical scheme.

ESAIM: Mathematical Modelling and Numerical Analysis (1)

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Finite volume methods for the valuationof American options
Julien Berton, Robert Eymard
Journal:

ESAIM: Mathematical Modelling and Numerical Analysis / Volume 40 / Issue 2 / March 2006

Published online by Cambridge University Press:

21 June 2006, pp. 311-330

Print publication:

March 2006
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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.