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"Pricing of American options, using the Brennan-Schwartz algorithm based on ..."

Sofiane Madi et al. (2018)

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DOI: 10.1016/J.AMC.2018.06.028

access: closed

type: Journal Article

metadata version: 2020-10-26

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Sofiane Madi, Mohamed Cherif Bouras, Mohamed Haiour, Andreas Stahel:
Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements. Appl. Math. Comput. 339: 846-852 (2018)

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