Zhu, Song-Ping; Chen, Wen-Ting - In: Journal of Economic Dynamics and Control 37 (2013) 1, pp. 231-250
The pricing of American options has been widely acknowledged as “a much more intriguing” problem in financial engineering. In this paper, a “convergency-proved” IFE (inverse finite element) approach is introduced to the field of financial engineering to price American options for the...