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

Madi, SofianeSofianeMadiBouras, Mohamed CherifMohamed CherifBourasHaiour, MohamedMohamedHaiourStahel, AndreasAndreasStahel2024-11-192024-11-1920180096-300310.24451/arbor.6773https://doi.org/10.24451/arbor.677310.1016/j.amc.2018.06.028https://arbor.bfh.ch/handle/arbor/39766enPricing of American options, using the Brennan–Schwartz algorithm based on finite elements-article