A Fast Numerical Method for the Black-Scholes Equation of American Options.

Houde Han Xiaonan Wu

Published in: SIAM J. Numer. Anal. (2003)

Keyphrases

numerical methods
black scholes
black scholes model
option pricing
differential equations
partial differential equations
numerical solution
finite element method
level set method
boundary element method
fuzzy logic
non stationary
news articles
stock price