We first introduce some basic knowledge on stocks, bonds, foreign currencies, commodities,
and indices, all of which are called assets in this book. Huge volumes of stocks are traded …

A front-fixing finite element method is developed for the valuation of American options on
stocks. Stability and solution nonnegativity are established under some appropriate …

Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation Page 1
FINITE ELEMENT ERROR ESTIMATES FOR A NONLOCAL PROBLEM IN AMERICAN OPTION …

A finite element method and a simple lattice method are proposed for numerical valuation of
American options under a regime switching model. Their stability estimates are established …

Using the dynamic programming principle in optimal stop** theory, we derive a semilinear
Black and Scholes type partial differential equation set in a fixed domain for the value of an …

In this paper, efficient numerical methods are developed for the pricing of American options
governed by the Black–Scholes equation. The front-fixing technique is first employed to …

This paper is devoted to the American option pricing problem governed by the Black-
Scholes equation. The existence of an optimal exercise policy makes the problem a free …

We introduce a weak Galerkin finite element method for the valuation of American options
governed by the Black-Scholes equation. In order to implement, we need to solve the …

In this paper we study finite volume methods and finite element methods for American put
options on zero-coupon bonds. Stability and convergence are established for both methods …

An efficient numerical method is proposed for the valuation of American options via the
Black-Scholes variational inequality. A far field boundary condition is employed to truncate …