Free Access
Issue
ESAIM: M2AN
Volume 40, Number 2, March-April 2006
Page(s) 311 - 330
DOI https://doi.org/10.1051/m2an:2006011
Published online 21 June 2006
  1. K. Amin and A. Khanna, Convergence of American option values from discrete- to continuous-time financial models. Math. Finance 4 (1994) 289–304. [CrossRef] [MathSciNet] [Google Scholar]
  2. V. Bally and G. Pages, A quantization algorithm for solving multi-dimensional discrete-time optimal stopping problems. Bernoulli 9 (2003) 1003–1049. [CrossRef] [MathSciNet] [Google Scholar]
  3. G. Barles, Ch. Daher and M. Romano, Convergence of numerical Schemes for problems arising in Finance theory. Math. Mod. Meth. Appl. Sci. 5 (1995) 125–143. [CrossRef] [Google Scholar]
  4. J. Bénard, R. Eymard, X. Nicolas and C. Chavant, Boiling in porous media: model and simulations. Transport Porous Med. 60 (2005) 1–31. [CrossRef] [Google Scholar]
  5. A. Bensoussan and J.L. Lions, Applications des inéquations variationnelles en contrôle stochastique, Dunod, Paris (1978). Application of variational inequalities in stochastic control, North Holland (1982). [Google Scholar]
  6. J. Berton and R. Eymard, Une méthode de volumes finis pour le calcul des options américaines, Congrès d'Analyse Numérique. La Grande Motte, France (2003). http://www.math.univ-montp2.fr/canum03/ [Google Scholar]
  7. J. Berton, Méthodes de volumes finis pour des problèmes de mathématiques financières. Thèse de l'Université de Marne-la-Vallée, France (in preparation). [Google Scholar]
  8. P. Boyle, J. Evnine and S. Gibbs, Numerical evaluation of multivariate contingent claims. Rev. Financ. Stud. 2 (1989) 241–250. [CrossRef] [Google Scholar]
  9. M.J. Brennan and E. Schwartz, The valuation of the American put option. J. Financ. 32 (1977) 449–462. [CrossRef] [Google Scholar]
  10. H. Brézis, Analyse fonctionnelle (Théorie et applications). Dunod, Paris (1999). [Google Scholar]
  11. M. Broadie and J. Detemple, American option valuation: new bounds, approximations, and a comparison of existing methods securities using simulation. Rev. Financ. Stud. 9 (1996) 1221–1250. [Google Scholar]
  12. P. Carr, R. Jarrow and R. Myneni, Alternative characterizations of American put options. Math. Financ. 2 (1992) 87–106. [CrossRef] [Google Scholar]
  13. J.C. Cox, S.A. Ross and M. Rubinstein, Options pricing: A simplified approach. J. Financ. Econ. 7 (1979) 229–263. [CrossRef] [Google Scholar]
  14. J.N. Dewynne, S.D. Howison, I. Rupf and P. Wilmott, Some mathematical results in the pricing of American options, Eur. J. Appl. Math. 4 (1993) 381–398. [Google Scholar]
  15. R. Eymard, T. Gallouët and R. Herbin, Finite Volume Methods, in Handb. Numer. Anal., Ph. Ciarlet and J.L. Lions (Eds.) 7 (2000) 715–1022. [Google Scholar]
  16. R. Eymard, T. Gallouët and R. Herbin, Convergence of finite volume schemes for semilinear convection diffusion equations, Numer. Math. 82 (1999) 90–116. [Google Scholar]
  17. R. Eymard, T. Gallouët, R. Herbin and A. Michel, Convergence of a finite volume scheme for nonlinear degenerate parabolic equations, Numer. Math. 92 (2001) 41–82. [Google Scholar]
  18. P.W. Hemker, Sparse-grid finite-volume multigrid for 3D-problems. Adv. Comput. Math 4 (1995) 83–110. [CrossRef] [MathSciNet] [Google Scholar]
  19. P. Jaillet, D. Lamberton and B. Lapeyre, Variational inequalities and the pricing of American options. Acta Appl. Math. 21 3 (1990) 263–289. [Google Scholar]
  20. B. Kamrad and P. Ritchken, Multinomial approximating models for options with k-state variables. Manage. Sci. 37 (1991) 1640–1652. [CrossRef] [Google Scholar]
  21. O.A. Ladyzhenskaya, V.A. Solonnikov and N.N. Ural'tseva, Linear and quasi-linear equations of parabolic type. Translated from the Russian by S. Smith. Transl. Math. Monogr. (AMS) 23 (1968) xi+648. [Google Scholar]
  22. D. Lamberton and B. Lapeyre, Introduction au calcul stochastique appliqué à la finance. Ellipses, Paris, New York, London (1997) 176. [Google Scholar]
  23. Y. Saad, Iterative methods for sparse linear systems. First edition, SIAM (1996). [Google Scholar]
  24. I. Sapariuc, M.D. Marcozzi and J.E. Flaherty, A numerical analysis of variational valuation techniques for derivative securities, Appl. Math. Comput. 159 (2004) 171–198. [Google Scholar]
  25. S. Villeneuve and A. Zanette, Parabolic A.D.I. methods for pricing American options on two stocks, Math. Oper. Res. 27 (2002) 121–149. [Google Scholar]
  26. R. Zvan, P.A. Forsyth and K.R. Vetzal, A finite volume approach for contingent claims valuation, IMA J. Numer. Anal. 21 (2001) 703–731. [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.

Recommended for you