Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
DOI10.1016/j.amc.2018.06.028zbMath1429.91345OpenAlexW2888433593MaRDI QIDQ2007600
Andreas Stahel, Sofiane Madi, Mohamed Cherif Bouras, Mohamed Haiour
Publication date: 22 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.06.028
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods for variational inequalities and related problems (65K15)
Related Items (5)
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Variational inequalities and the pricing of American options
- Mathematical models of financial derivatives
- On the solution of complementarity problems arising in American options pricing
- Computational Methods for Option Pricing
- Polyhedral sets having a least element
- Tools for computational finance
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