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Finite volume methods for the valuation of American options
Published online by Cambridge University Press: 21 June 2006
Abstract
We consider the use of finite volume methods for the approximation of a parabolic variational inequality arising in financial mathematics. We show, under some regularity conditions, the convergence of the upwind implicit finite volume scheme to a weak solution of the variational inequality in a bounded domain. Some results, obtained in comparison with other methods on 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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