A fast numerical method for the valuation of American lookback put options
DOI10.1016/J.CNSNS.2015.03.010zbMATH Open1457.91418OpenAlexW2085446773MaRDI QIDQ2198448FDOQ2198448
Authors: 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
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finite element methodvariational inequalityprojection and contraction methodlinear complementary problemAmerican lookback option
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
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Cited In (9)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
- Primal-dual active set method for pricing American better-of option on two assets
- An efficient numerical method for the valuation of American multi-asset options
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
- Title not available (Why is that?)
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Finite element method for valuation of American lookback options
- Adaptive neural network surrogate model for solving the implied volatility of time-dependent American option via Bayesian inference
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