A new numerical method on American option pricing.

Yonggen Gu Jiwu Shu Xiaotie Deng Weimin Zheng

Published in: Sci. China Ser. F Inf. Sci. (2002)

Keyphrases

numerical methods
black scholes
option pricing
differential equations
partial differential equations
level set method
finite element method
decision analysis
level set
expert systems
dynamic programming
stock price
real option