Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8900669 | Applied Mathematics and Computation | 2018 | 7 Pages |
Abstract
A finite element method and implicit time steps are used to determine the price of an American option. The algorithm of Brennan and Schwartz is adapted to this situation and we prove convergence. Numerical tests confirm the theoretical result and lead to a smaller error for the same computational effort, compared to the finite difference method.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Sofiane Madi, Mohamed Cherif Bouras, Mohamed Haiour, Andreas Stahel,