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20092020
most citedA Crank-Nicolson type minimization scheme for a hyperbolic free boundary problem

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math.AP2009

Convergence of the Approximation scheme to American option pricing via the discrete Morse semiflow

Katsuyuki Ishii, Seiro Omata

We consider the approximation scheme of the American call option via the discrete Morse semiflow. It is the minimizing scheme of a time-semidiscretized variational functional. In t…