An efficient numerical method for the valuation of American multi-asset options.

Qi Zhang Haiming Song Chengbo Yang Fangfang Wu

Published in: Comput. Appl. Math. (2020)

Keyphrases

numerical methods
differential equations
approximation schemes
united states
finite difference method
partial differential equations
finite element method
machine learning
boundary element method
high quality
multiscale
dynamic programming
x ray
experimental data
level set method