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Moroccan Journal of Pure and Applied Analysis
Volume 9 (2023): Issue 1 (January 2023)
Open Access
About the valuation of American option under Black-Scholes model : a numerical study
R. Malek
R. Malek
Department of Mathematics, Faculty of Sciences, Moulay Ismail University
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Malek, R.
Feb 01, 2023
Moroccan Journal of Pure and Applied Analysis
Volume 9 (2023): Issue 1 (January 2023)
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Published Online:
Feb 01, 2023
Page range:
75 - 85
Received:
Nov 24, 2022
Accepted:
Dec 26, 2022
DOI:
https://doi.org/10.2478/mjpaa-2023-0005
Keywords
American option
,
Black-Scholes model
,
heat equation
,
Finite Element method
,
ziti method
© 2023 R. Malek, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
