African Journal of
Mathematics and Computer Science Research

  • Abbreviation: Afr. J. Math. Comput. Sci. Res.
  • Language: English
  • ISSN: 2006-9731
  • DOI: 10.5897/AJMCSR
  • Start Year: 2008
  • Published Articles: 236

Table of Content: February 2019; 12(1)

February 2019

Comparative study of the direct and inverse finite element methods for pricing American options

This paper investigates the computational performance of direct and inverse finite element methods for pricing American options. The underlying concept of the direct approach is similar to that of conventional finite element method. But the inverse approach is a relatively new development that involves trading the roles of financial variables. Based on the same constitutive model and linear elements, a performance...

Author(s): Bolujo Joseph Adegboyegun