PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
DOI10.1016/J.CAMWA.2019.09.014zbMATH Open1448.91291OpenAlexW2978027618WikidataQ127216485 ScholiaQ127216485MaRDI QIDQ2004615FDOQ2004615
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
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finite elementscounterparty riskmethod of characteristicsAmerican option pricingparabolic variational inequalities(non)linear PDEs
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Cites Work
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- Augmented Lagrangian active set methods for obstacle problems
- Problèmes unilateraux
- An upwind approach for an American and European option pricing model
- Nonlinear variational inequalities of semilinear parabolic type
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation
- A Monte Carlo approach to American options pricing including counterparty risk
Cited In (11)
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- Semi-implicit FEM for the valuation of American options under the Heston model
- 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
- A fully non-linear PDE problem from pricing CDS with counterparty risk
- Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework
- Efficient parallel Monte-Carlo techniques for pricing American options including counterparty credit risk
- FDMs for the PDEs of option pricing under DEV models with counterparty risk
- A Monte Carlo approach to American options pricing including counterparty risk
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
- PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
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