Geodesic
Finite volume methods for the valuation of american options
ESAIM: Mathematical Modelling and Numerical Analysis , Tome 40 (2006) no. 2, pp. 311-330

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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.

DOI : 10.1051/m2an:2006011
Classification : 65M12
Keywords: american option, variational inequality, finite volume method, convergence of numerical scheme 
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     title = {Finite volume methods for the valuation of american options},
     journal = {ESAIM: Mathematical Modelling and Numerical Analysis },
     pages = {311--330},
     publisher = {EDP-Sciences},
     volume = {40},
     number = {2},
     year = {2006},
     doi = {10.1051/m2an:2006011},
     mrnumber = {2241825},
     zbl = {1137.91427},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/m2an:2006011/}
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Berton, Julien; Eymard, Robert. Finite volume methods for the valuation of american options. ESAIM: Mathematical Modelling and Numerical Analysis , Tome 40 (2006) no. 2, pp. 311-330. doi: 10.1051/m2an:2006011

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