A Reduced Basis Method for the Simulation of American Options

DOI10.1007/978-3-642-33134-3_85zbMath1269.91086arXiv1201.3289OpenAlexW1909146625MaRDI QIDQ2838569

Julien Salomon, Bernard Haasdonk, Barbara I. Wohlmuth

Publication date: 10 July 2013

Published in: Numerical Mathematics and Advanced Applications 2011 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3289

zbMATH Keywords

American optionsreduced basis methodtime-dependent variational inequalityreduced spacesangle-greedy procedurePOD-greedy procedure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for variational inequalities and related problems (65K15)

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