Fast numerical valuation of American, exotic and complex options

DOI10.1080/135048697334809zbMath1009.91017OpenAlexW3125445564MaRDI QIDQ4541537

J. P. Hutton, Michael A. H. Dempster

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334809

zbMATH Keywords

derivative securitiesAmerican vanilla and exotic optionsPDE problem

Mathematics Subject Classification ID

Related Items (7)

A finite element approach to the pricing of discrete lookbacks with stochastic volatility ⋮ Multigrid for American option pricing with stochastic volatility ⋮ An explicit finite difference approach to the pricing problems of perpetual Bermudan options ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ An explicit series approximation to the optimal exercise boundary of American put options ⋮ PDE methods for pricing barrier options ⋮ Penalty methods for American options with stochastic volatility

Cites Work

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• Variational inequalities and the pricing of American options
• The pricing of the American option
• Binomial valuation of lookback options
• Equivalence of Linear Complementarity Problems and Linear Programs in Vector Lattice Hilbert Spaces

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