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About the valuation of American option under Black-Scholes model : a numerical study Cover

About the valuation of American option under Black-Scholes model : a numerical study

Moroccan Journal of Pure and Applied Analysis
Volume 9 (2023): Issue 1 (January 2023)
By: R. Malek  
Open Access
|Feb 2023

Authors

R. Malek

r.malek@edu.umi.ac.ma

Department of Mathematics, Faculty of Sciences, Moulay Ismail University
DOI: https://doi.org/10.2478/mjpaa-2023-0005 | Journal eISSN: 2351-8227
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Language: English
Page range: 75 - 85
Submitted on: Nov 24, 2022
Accepted on: Dec 26, 2022
Published on: Feb 1, 2023
Published by: Sciendo
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year
Keywords:
American option,
Black-Scholes model,
heat equation,
Finite Element method,
ziti method
Related subjects:
Mathematics,
Analysis,
Differential equations and dynamical systems,
Probability and statistics,
Numerical and computational mathematics

© 2023 R. Malek, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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