Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets

DOI10.3934/era.2022005zbMath1489.91309MaRDI QIDQ2127475

Haiming Song, Yiyuan Qian, Zhang Kai, Xiao Shen Wang

Publication date: 20 April 2022

Published in: Electronic Research Archive (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/era.2022005

zbMATH Keywords

finite element method; linear complementary problem; American better-of option; far-field truncation technique; primal-dual active-set method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65M60: Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs