PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution (Q2004615)
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scientific article; zbMATH DE number 7256673
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| English | PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution |
scientific article; zbMATH DE number 7256673 |
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PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution (English)
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7 October 2020
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American option pricing
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counterparty risk
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(non)linear PDEs
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parabolic variational inequalities
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method of characteristics
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finite elements
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0.873583197593689
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0.853121817111969
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0.8317694664001465
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0.8247528076171875
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0.7969555854797363
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