An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (Q5347524): Difference between revisions

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scientific article; zbMATH DE number 6722941

Language	Label	Description	Also known as
English	An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options	scientific article; zbMATH DE number 6722941

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instance of

scholarly article

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title

An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (English)

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SIAM Journal on Numerical Analysis

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publication date

24 May 2017

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zbMATH Keywords

American option

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parabolic partial integro-differential inequality

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finite element method

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IMEX-time semidiscretizations

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error estimates

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MaRDI profile type

MaRDI publication profile

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cites work

Computational Methods for Option Pricing

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Q5318420

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Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation

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Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

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Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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Q3935745

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The Pricing of Options and Corporate Liabilities

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A Non-Interior-Point Continuation Method for Linear Complementarity Problems

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Q2778914

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Numerical solution of two asset jump diffusion models for option valuation

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Financial Modelling with Jump Processes

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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Q4933733

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A penalty method for American options with jump diffusion processes

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Robust numerical methods for contingent claims under jump diffusion processes

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Computational methods for quantitative finance. Finite element methods for derivative pricing

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The Primal-Dual Active Set Strategy as a Semismooth Newton Method

0 references

Optimal convergence rate of the explicit finite difference scheme for American option valuation

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Q3374309

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Operator splitting methods for American option pricing.

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Some Noninterior Continuation Methods for Linear Complementarity Problems

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A Jump-Diffusion Model for Option Pricing

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A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

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Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

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Wavelet Galerkin pricing of American options on Lévy driven assets

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Q4905685

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Option pricing when underlying stock returns are discontinuous

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An approximation of American option prices in a jump-diffusion model

0 references

A posteriori error analysis for a class of integral equations and variational inequalities

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On Kolmogorov equations for anisotropic multivariate Lévy processes

0 references

Q3816922

0 references

Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model

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Numerical analysis on binomial tree methods for a jump-diffusion model.

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Q3992492

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Numerical Analysis of American Option Pricing in a Jump-Diffusion Model

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Q4356584

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Identifiers

zbMATH Open document ID

1362.65094

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DOI

10.1137/16M1074746

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5347524

@@ Property / cites work @@
+Computational Methods for Option Pricing
@@ Property / cites work: Computational Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q5318420
@@ Property / cites work: Q5318420 / rank @@
+Normal rank
@@ Property / cites work @@
+Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
+Normal rank
@@ Property / cites work @@
+Q3935745
@@ Property / cites work: Q3935745 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+A Non-Interior-Point Continuation Method for Linear Complementarity Problems
+Normal rank
@@ Property / cites work @@
+Q2778914
@@ Property / cites work: Q2778914 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of two asset jump diffusion models for option valuation
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Q4933733
@@ Property / cites work: Q4933733 / rank @@
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4399897
@@ Property / cites work: Q4399897 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4086525
@@ Property / cites work: Q4086525 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3321366
@@ Property / cites work: Q3321366 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3914338
@@ Property / cites work: Q3914338 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Computational methods for quantitative finance. Finite element methods for derivative pricing
+Normal rank
@@ Property / cites work @@
+The Primal-Dual Active Set Strategy as a Semismooth Newton Method
+Normal rank
@@ Property / cites work @@
+Optimal convergence rate of the explicit finite difference scheme for American option valuation
+Normal rank
@@ Property / cites work @@
+Q3374309
@@ Property / cites work: Q3374309 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Some Noninterior Continuation Methods for Linear Complementarity Problems
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+Normal rank
@@ Property / cites work @@
+Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries
+Normal rank
@@ Property / cites work @@
+Wavelet Galerkin pricing of American options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+An approximation of American option prices in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+A posteriori error analysis for a class of integral equations and variational inequalities
+Normal rank
@@ Property / cites work @@
+On Kolmogorov equations for anisotropic multivariate Lévy processes
+Normal rank
@@ Property / cites work @@
+Q3816922
@@ Property / cites work: Q3816922 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Numerical analysis on binomial tree methods for a jump-diffusion model.
+Normal rank
@@ Property / cites work @@
+Q3992492
@@ Property / cites work: Q3992492 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / cites work @@
+Q4356584
@@ Property / cites work: Q4356584 / rank @@
+Normal rank