PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution

DOI10.1016/J.CAMWA.2019.09.014MaRDI QIDQ2004615zbMATHOpenAlexWikidataFDO

Authors Iñigo Arregui, Beatriz Salvador, Daniel Ševčovič, Carlos Vázquez

Publication date 7 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2019.09.014

zbMATH Keywords

finite elementscounterparty riskmethod of characteristicsAmerican option pricingparabolic variational inequalities(non)linear PDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites work

• scientific article; zbMATH DE number 3933858 (Why is no real title available?)
• scientific article; zbMATH DE number 3198328 (Why is no real title available?)
• scientific article; zbMATH DE number 3200865 (Why is no real title available?)
• A Monte Carlo approach to American options pricing including counterparty risk
• An Introduction to Variational Inequalities and Their Applications
• An upwind approach for an American and European option pricing model
• Augmented Lagrangian active set methods for obstacle problems
• Le problème de Dirichlet pour les équations elliptiques du second ordre à coefficients discontinus
• Nonlinear variational inequalities of semilinear parabolic type
• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• Problèmes unilateraux
• Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
• Équations et inéquations non linéaires dans les espaces vectoriels en dualité

Cited in

(11)

• Mathematical analysis of a nonlinear PDE model for European options with counterparty risk
• Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
• Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
• A Monte Carlo approach to American options pricing including counterparty risk
• Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
• Semi-implicit FEM for the valuation of American options under the Heston model
• FDMs for the PDEs of option pricing under DEV models with counterparty risk
• Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
• PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
• A fully non-linear PDE problem from pricing CDS with counterparty risk
• PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

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