Finite volume methods for the valuation of American options

Julien Berton, Robert Eymard
2006 Mathematical Modelling and Numerical Analysis  
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. Mathematics Subject Classification. 65M12.
doi:10.1051/m2an:2006011 fatcat:ivhtb7ajrzdgbimbimk2yyvypq