no. 2
Finite volume methods for the valuation of american options
ESAIM: Modélisation mathématique et analyse numérique, Tome 40 (2006) no. 2, pp. 311-330.

We consider the use of finite volume methods for the approximation of a parabolic variational inequality arising in financial mathematics. We show, under some regularity conditions, the convergence of the upwind implicit finite volume scheme to a weak solution of the variational inequality in a bounded domain. Some results, obtained in comparison with other methods on two dimensional cases, show that finite volume schemes can be accurate and efficient.

DOI : 10.1051/m2an:2006011
Classification : 65M12
Mots clés : american option, variational inequality, finite volume method, convergence of numerical scheme 
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Berton, Julien; Eymard, Robert. Finite volume methods for the valuation of american options. ESAIM: Modélisation mathématique et analyse numérique, Tome 40 (2006) no. 2, pp. 311-330. doi : 10.1051/m2an:2006011. http://www.numdam.org/articles/10.1051/m2an:2006011/

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