A fast numerical method for the valuation of American lookback put options

DOI10.1016/j.cnsns.2015.03.010zbMath1457.91418OpenAlexW2085446773MaRDI QIDQ2198448

Yanyan Li

Publication date: 10 September 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2015.03.010

zbMATH Keywords

finite element methodvariational inequalityprojection and contraction methodlinear complementary problemAmerican lookback option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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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Uses Software

• DerivaGem

Cites Work

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