Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements

DOI10.1016/J.AMC.2018.06.028MaRDI QIDQ2007600zbMATH OpenOpenAlexFDO

Authors Sofiane Madi, Mohamed Cherif Bouras, A. Stahel, 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

zbMATH Keywords

American optionBrennan-Schwartzfinite element methodparabolic variational inequalities

Mathematics Subject Classification ID

Numerical methods for variational inequalities and related problems (65K15) 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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Cites work

• Computational Methods for Option Pricing
• scientific article; zbMATH DE number 3716008 (Why is no real title available?)
• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 3638617 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Mathematical models of financial derivatives
• On the solution of complementarity problems arising in American options pricing
• Polyhedral sets having a least element
• Pricing American options using LU decomposition
• The pricing of options and corporate liabilities
• Tools for computational finance
• Variational inequalities and the pricing of American options

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(14)

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• An inverse finite element method for pricing American options
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• An efficient method for option pricing with finite elements: an endogenous element length approach
• Pricing American options using LU decomposition
• Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
• Primal-dual active set method for evaluating American put options on zero-coupon bonds
• Unconditionally stable numerical pricing of American bond options via the Hull-White model
• American option pricing with model constrained Gaussian process regressions
• Pricing American options using a space-time adaptive finite difference method

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