# Finite volume methods for the valuation of American options

ESAIM: Mathematical Modelling and Numerical Analysis (2006)

- Volume: 40, Issue: 2, page 311-330
- ISSN: 0764-583X

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topBerton, Julien, and Eymard, Robert. "Finite volume methods for the valuation of American options." ESAIM: Mathematical Modelling and Numerical Analysis 40.2 (2006): 311-330. <http://eudml.org/doc/249698>.

@article{Berton2006,

abstract = {
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.
},

author = {Berton, Julien, Eymard, Robert},

journal = {ESAIM: Mathematical Modelling and Numerical Analysis},

keywords = {American option; variational inequality; finite volume method;
convergence of numerical scheme.; convergence of numerical scheme},

language = {eng},

month = {6},

number = {2},

pages = {311-330},

publisher = {EDP Sciences},

title = {Finite volume methods for the valuation of American options},

url = {http://eudml.org/doc/249698},

volume = {40},

year = {2006},

}

TY - JOUR

AU - Berton, Julien

AU - Eymard, Robert

TI - Finite volume methods for the valuation of American options

JO - ESAIM: Mathematical Modelling and Numerical Analysis

DA - 2006/6//

PB - EDP Sciences

VL - 40

IS - 2

SP - 311

EP - 330

AB -
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.

LA - eng

KW - American option; variational inequality; finite volume method;
convergence of numerical scheme.; convergence of numerical scheme

UR - http://eudml.org/doc/249698

ER -

## References

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