Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918): Difference between revisions
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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. | |||
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 / reviewed by: Gheorghe Stoica / 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: 91G60 / rank | |||
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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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Kolmogorov equation | |||
Property / zbMATH Keywords: Kolmogorov equation / rank | |||
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obstacle problems | |||
Property / zbMATH Keywords: obstacle problems / rank | |||
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anisotropic regularity | |||
Property / zbMATH Keywords: anisotropic regularity / rank | |||
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characteristics time discretization | |||
Property / zbMATH Keywords: characteristics time discretization / rank | |||
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finite elements | |||
Property / zbMATH Keywords: finite elements / rank | |||
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augmented Lagrangian active set method | |||
Property / zbMATH Keywords: augmented Lagrangian active set method / rank | |||
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Revision as of 16:02, 29 June 2023
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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