An inverse finite element method for pricing American options

DOI10.1016/J.JEDC.2012.08.002MaRDI QIDQ315621zbMATH OpenOpenAlexFDO

Authors Song-Ping Zhu, Wen-Ting Chen

Publication date 22 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2012.08.002

zbMATH Keywords

American optionsBlack-Scholes modelconvergence analysisinverse finite elements

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• Real options pricing by the finite element method
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