About the valuation of American option under Black-Scholes model : a numerical study

Pubblicato online: 01 feb 2023

Pagine: 75 - 85

Ricevuto: 24 nov 2022

Accettato: 26 dic 2022

DOI: https://doi.org/10.2478/mjpaa-2023-0005

Parole chiave

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.