Convergence of a fitted finite volume method for the penalized Black–Scholes equation governing European and American Option pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Computational Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s00211-006-0057-7.pdf
Reference32 articles.
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2. Allegretto W., Lin Y. and Yang H. (2001). Finite element error estimates for a nonlocal problem in American option valuation. SIAM J. Numer. Anal. 39(3): 834–857 (electronic)
3. Angermann L. (1995). Error estimates for the finite-element solution of an elliptic singularly perturbed problem. IMA J. Num. Anal. 15: 161–196
4. Angermann L. and Wang S. (2003). Three-dimensional exponentially fitted conforming tetrahedral finite elements for the semiconductor continuity equations. Appl. Numer. Math. 46: 19–43
5. Barles G. (1997). Convergence of numerical schemes for degenerate parabolic equations arising in finance theory. In: Rogers, L.C.G. and Taley, D. (eds) Numerical Methods in Finance, pp 1–21. Cambridge University Press, Cambridge
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