Real options pricing by the finite element method
نویسندگان
چکیده
منابع مشابه
Pricing American Options by the Finite Element Method
In this paper we investigate the performances of high-order of finite element methods for American option pricing. First of all, the partial differential problem that yields the price of American options, which is a free boundary problem, is transformed to a problem with a fixed boundary by adding a suitable penalty term. Then, by employing a quadratic finite element method, a nonlinear system ...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2011
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2011.03.070