Weak Galerkin finite element method for valuation of American options

DOI10.1007/s11464-014-0358-6zbMath1307.91193OpenAlexW1982918151MaRDI QIDQ2259116

Yanyan Li

Publication date: 27 February 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-014-0358-6

zbMATH Keywords

American optionoptimal exercise boundaryweak Galerkin finite element method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Related Items (9)

Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets ⋮ A fast numerical method for the valuation of American lookback put options ⋮ An efficient finite element method for pricing American multi-asset put options ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ A uniformly convergent weak Galerkin finite element method on Shishkin mesh for 1d convection-diffusion problem ⋮ A Posteriori Error Analysis for the Weak Galerkin Method for Solving Elliptic Problems ⋮ Projection and Contraction Method for the Valuation of American Options ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

Uses Software

• DerivaGem

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Weak Galerkin methods for second order elliptic interface problems
• Variational inequalities and the pricing of American options
• Mathematical models of financial derivatives
• Studies on some perfectly matched layers for one-dimensional time-dependent systems
• A perfectly matched layer for the absorption of electromagnetic waves
• Three-dimensional perfectly matched layer for the absorption of electromagnetic waves
• A weak Galerkin finite element method for second-order elliptic problems
• A computational study of the weak Galerkin method for second-order elliptic equations
• The Numerical Solution of Weakly Singular Volterra Integral Equations by Collocation on Graded Meshes
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
• American options on assets with dividends near expiry
• Collocation Methods for Volterra Integral and Related Functional Differential Equations
• A Front-Fixing Finite Element Method for the Valuation of American Options
• Option pricing: A simplified approach
• Perfectly matched layers for the heat and advection-diffusion equations

This page was built for publication: Weak Galerkin finite element method for valuation of American options