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For the numerical solution of the American option valuation problem, weprovide a script written in MATLAB implementing an explicit finite differencescheme. Our main contribute is the definition of a posteriori error estimatorfor the American options pricing which is based on Richardson's extrapolationtheory. This error estimator allows us to find a suitable grid where thecomputed solution, both the option price field variable and the free boundaryposition, verify a prefixed error tolerance.

A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options