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

zbMATH Keywords

finite element methodAmerican optionparabolic variational inequalitiesBrennan-Schwartz

Mathematics Subject Classification ID

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)

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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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