A fast numerical method for the valuation of American lookback put options.

Haiming Song Qi Zhang Ran Zhang

Published in: Commun. Nonlinear Sci. Numer. Simul. (2015)

Keyphrases

numerical methods
differential equations
partial differential equations
united states
boundary element method
finite element method
finite difference method
numerical solution
real option
computer vision
level set method
pattern recognition