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- W2094551972 abstract "Abstract In this article we study the numerical solution of a degenerate variational inequality of parabolic type arising from the valuation of American options by a finite difference method. Stability and convergence of the finite difference method are established. Numerical results are also presented to show the effectiveness and usefulness of the discretization scheme." @default.
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- W2094551972 date "2006-12-01" @default.
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- W2094551972 title "On Stability and Convergence of a Finite Difference Approximation to a Parabolic Variational Inequality Arising From American Option Valuation" @default.
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- W2094551972 doi "https://doi.org/10.1080/07362990600958952" @default.
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