Forsyth, P. A.; Vetzal, K. R.; Zvan, R. - In: Applied Mathematical Finance 6 (1999) 2, pp. 87-106
Finite element methods are described for valuing lookback options under stochastic volatility. Particular attention is paid to the method for handling the boundary equations. For some boundaries, the equations reduce to first-order hyperbolic equations which must be discretized to ensure that...