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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
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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