Pricing of American options, using the Brennan–Schwartz algorithm based on finite elements

Madi, Sofiane; Bouras, Mohamed Cherif; Haiour, Mohamed; Stahel, Andreas (2018). Pricing of American options, using the Brennan–Schwartz algorithm based on finite elements Applied Mathematics and Computation, 339, pp. 846-852. Elsevier 10.1016/j.amc.2018.06.028

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Item Type:

Journal Article (Original Article)

Division/Institute:

School of Engineering and Computer Science > Institute for Human Centered Engineering (HUCE)
School of Engineering and Computer Science
BFH Centres > BFH centre for Health technologies

Name:

Madi, Sofiane;
Bouras, Mohamed Cherif;
Haiour, Mohamed and
Stahel, Andreas

ISSN:

0096-3003

Publisher:

Elsevier

Language:

English

Submitter:

Admin import user

Date Deposited:

13 Nov 2019 11:02

Last Modified:

13 Nov 2019 11:02

Publisher DOI:

10.1016/j.amc.2018.06.028

ARBOR DOI:

10.24451/arbor.6773

URI:

https://arbor.bfh.ch/id/eprint/6773

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