An efficient finite element method for pricing American multi-asset put options
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perfectly matched layerlinear complementary problemsemi-implicit finite element methodAmerican multi-asset put options
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Theoretical approximation in context of PDEs (35A35)
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Cites work
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- A Fast Numerical Method for the Black--Scholes Equation of American Options
- A Front-Fixing Finite Element Method for the Valuation of American Options
- A lattice method for option pricing with two underlying assets in the regime-switching model
- A numerical analysis of variational valuation techniques for derivative securities
- A perfectly matched layer for the absorption of electromagnetic waves
- Accurate numerical method for pricing two-asset American put options
- An inverse finite element method for pricing American options
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Error analysis of linearized semi-implicit Galerkin finite element methods for nonlinear parabolic equations
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Galerkin finite element methods for parabolic problems
- On the binomial tree method and other issues in connection with pricing Bermudan and American options
- On the theory of option pricing
- Penalty methods for American options with stochastic volatility
- Penalty methods for the numerical solution of American multi-asset option problems
- Perfectly matched layers for the heat and advection-diffusion equations
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Some Optimal Error Estimates for Piecewise Linear Finite Element Approximations
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- Weak Galerkin finite element method for valuation of American options
Cited in
(21)- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- An efficient numerical method for the valuation of American multi-asset options
- A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations
- Semi-implicit FEM for the valuation of American options under the Heston model
- scientific article; zbMATH DE number 6164554 (Why is no real title available?)
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
- A comparative analysis of local meshless formulation for multi-asset option models
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- An unconditionally energy-stable second-order time-accurate scheme for the Cahn-Hilliard equation on surfaces
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- scientific article; zbMATH DE number 6831341 (Why is no real title available?)
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- scientific article; zbMATH DE number 7267251 (Why is no real title available?)
- Sharp error estimate for implicit finite element scheme for American put option
- An inverse finite element method for pricing American options
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- A penalty method for American multi-asset option problems
- scientific article; zbMATH DE number 6136940 (Why is no real title available?)
- Real options pricing by the finite element method
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
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