@Article{EAJAM-5-48,
author = {Haiming Song and Ran Zhang},
title = {Projection and Contraction Method for the Valuation of American Options},
journal = {East Asian Journal on Applied Mathematics},
year = {2018},
volume = {5},
number = {1},
pages = {48--60},
abstract = {<p style="text-align: justify;">An efficient numerical method is proposed for the valuation of American options
via the Black-Scholes variational inequality. A far field boundary condition is employed
to truncate the unbounded domain problem to produce the bounded domain
problem with the associated variational inequality, to which our finite element method
is applied. We prove that the matrix involved in the finite element method is symmetric
and positive definite, and solve the discretized variational inequality by the projection
and contraction method. Numerical experiments are conducted that demonstrate the
superior performance of our method, in comparison with earlier methods.</p>},
issn = {2079-7370},
doi = {https://doi.org/10.4208/eajam.110914.301114a},
url = {http://global-sci.org/intro/article_detail/eajam/10778.html}
}