Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
DOI10.1016/J.AMC.2018.06.028zbMATH Open1429.91345OpenAlexW2888433593MaRDI QIDQ2007600FDOQ2007600
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
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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)
Cites Work
- The pricing of options and corporate liabilities
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- Variational inequalities and the pricing of American options
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- Mathematical models of financial derivatives
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- Computational Methods for Option Pricing
- Pricing American options using LU decomposition
- Tools for computational finance
- On the solution of complementarity problems arising in American options pricing
- Polyhedral sets having a least element
Cited In (12)
- Primal-dual active set method for evaluating American put options on zero-coupon bonds
- A new approach for pricing discounted American options
- Path-dependent game options with Asian features
- Perpetual game options with a multiplied penalty
- Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
- Title not available (Why is that?)
- An inverse finite element method for pricing American options
- Pricing American options using LU decomposition
- Title not available (Why is that?)
- Pricing American options using a space-time adaptive finite difference method
- An efficient method for option pricing with finite elements: an endogenous element length approach
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
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