A Front-Fixing Finite Element Method for the Valuation of American Options

  • Authors:

  • Anthony D. Holmes;Hongtao Yang

  • Affiliations:

  • holmes24@unlv.nevada.edu and hongtao.yang@unlv.edu;-

  • Venue:
  • SIAM Journal on Scientific Computing
  • Year:
  • 2008

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Abstract

A front-fixing finite element method is developed for the valuation of American options on stocks. Stability and solution nonnegativity are established under some appropriate assumptions. Numerical results are presented to examine our method and to compare it with the other methods.