Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918): Difference between revisions
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Property / author | |||
Property / author: Andrea Pascucci / rank | |||
Property / author | |||
Property / author: María Suárez-Taboada / rank | |||
Property / author | |||
Property / author: Carlos Vázquez / rank | |||
Property / review text | |||
In the present paper, the stock loan pricing problem is addressed in the case when the accumulative dividend yield is returned to the borrower on redemption. The optimal regularity of the solution in anisotropic Sobolev spaces is analyzed, by applying obstacle problem techniques associated to hypoelliptic equations of Kolmogorov type. The authors propose a numerical method to approximate the exact solution; additionally to the discretization method, in order to deal with the nonlinearity associated to the obstacle condition (free boundary problem), the augmented Lagrangian active set method is used. A piecewise quadratic finite element method is considered, so that the joint time and spatial discretization falls in the frame of the Lagrange-Galerkin method. | |||
Property / review text: In the present paper, the stock loan pricing problem is addressed in the case when the accumulative dividend yield is returned to the borrower on redemption. The optimal regularity of the solution in anisotropic Sobolev spaces is analyzed, by applying obstacle problem techniques associated to hypoelliptic equations of Kolmogorov type. The authors propose a numerical method to approximate the exact solution; additionally to the discretization method, in order to deal with the nonlinearity associated to the obstacle condition (free boundary problem), the augmented Lagrangian active set method is used. A piecewise quadratic finite element method is considered, so that the joint time and spatial discretization falls in the frame of the Lagrange-Galerkin method. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G40 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6250992 / rank | |||
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Property / zbMATH Keywords | |||
stock loans | |||
Property / zbMATH Keywords: stock loans / rank | |||
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Property / zbMATH Keywords | |||
Kolmogorov equation | |||
Property / zbMATH Keywords: Kolmogorov equation / rank | |||
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obstacle problems | |||
Property / zbMATH Keywords: obstacle problems / rank | |||
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Property / zbMATH Keywords | |||
anisotropic regularity | |||
Property / zbMATH Keywords: anisotropic regularity / rank | |||
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Property / zbMATH Keywords | |||
characteristics time discretization | |||
Property / zbMATH Keywords: characteristics time discretization / rank | |||
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Property / zbMATH Keywords | |||
finite elements | |||
Property / zbMATH Keywords: finite elements / rank | |||
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Property / zbMATH Keywords | |||
augmented Lagrangian active set method | |||
Property / zbMATH Keywords: augmented Lagrangian active set method / rank | |||
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Property / author | |||
Property / author: Andrea Pascucci / rank | |||
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Property / author | |||
Property / author: María Suárez-Taboada / rank | |||
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Property / author | |||
Property / author: Carlos Vázquez / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Gheorghe Stoica / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.007 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1993872238 / rank | |||
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Property / cites work | |||
Property / cites work: Variational inequalities in Hilbert spaces with measures and optimal stopping problems / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 06:33, 7 July 2024
scientific article
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English | Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem |
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Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (English)
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28 January 2014
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In the present paper, the stock loan pricing problem is addressed in the case when the accumulative dividend yield is returned to the borrower on redemption. The optimal regularity of the solution in anisotropic Sobolev spaces is analyzed, by applying obstacle problem techniques associated to hypoelliptic equations of Kolmogorov type. The authors propose a numerical method to approximate the exact solution; additionally to the discretization method, in order to deal with the nonlinearity associated to the obstacle condition (free boundary problem), the augmented Lagrangian active set method is used. A piecewise quadratic finite element method is considered, so that the joint time and spatial discretization falls in the frame of the Lagrange-Galerkin method.
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stock loans
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Kolmogorov equation
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obstacle problems
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anisotropic regularity
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characteristics time discretization
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finite elements
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augmented Lagrangian active set method
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