An inverse finite element method for pricing American options
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World Scientific Publishing Co. Pte. Ltd..
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- repec:eee:dyncon:v:80:y:2017:i:c:p:75-100 is not listed on IDEAS
- Karakaya, Emrah, 2016. "Finite Element Method for forecasting the diffusion of photovoltaic systems: Why and how?," Applied Energy, Elsevier, vol. 163(C), pages 464-475.
- Karakaya, Emrah, 2014. "Finite Element Model of the Innovation Diffusion: An Application to Photovoltaic Systems," INDEK Working Paper Series 2014/6, Royal Institute of Technology, Department of Industrial Economics and Management.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
- Chen, Wenting & Yan, Bowen & Lian, Guanghua & Zhang, Ying, 2016. "Numerically pricing American options under the generalized mixed fractional Brownian motion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 180-189.
More about this item
KeywordsInverse finite elements; Convergence analysis; American options; Black–Scholes model;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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