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 and strategic thematic fields > BFH centre for Health technologies
Name:	Madi, Sofiane; Bouras, Mohamed Cherif; Haiour, Mohamed and Stahel, Andreas
ISSN:	0096-3003
Publisher:	Elsevier
Language:	English
Submitter:	Service Account
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