Boundary condition (10) is the commonly accepted heuristic..This is such a weird thread and location for this discussion, but a decent guess is this JF article by Mike Brennan and Eduardo Schwartz, which (without labeling it as such) uses a fully implicit finite difference scheme to value American options on individual stocks: https://globalriskguard.com/resources/d ... scwatz.pdfSomeone asked me a while back who was the first to PDE/FDM for option pricing? Is it one of these gentlemen?
An old friend of mine. He resorted to Monte Carlo to check the work of his PhD student, Eduardo Schwartz, who employed other numerical PDE solution techniques. And not boring at all!
The original article seems to be this
https://www.anderson.ucla.edu/faculty/e ... cles/2.pdf
