An efficient numerical method for the valuation of American multi-asset options

DOI10.1007/S40314-020-01290-9MaRDI QIDQ2204166zbMATHOpenAlexFDO

Authors Qi Zhang, Haiming Song, Chengbo Yang, Fangfang Wu

Publication date 15 October 2020

Published in Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40314-020-01290-9

zbMATH Keywords

finite element methodlinear complementarity problemprojection and contraction methodAmerican multi-asset optionsfar-field boundary estimate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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Cites work

• scientific article; zbMATH DE number 52588 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 2233868 (Why is no real title available?)
• A class of projection and contraction methods for monotone variational inequalities
• A fast numerical method for the valuation of American lookback put options
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• An efficient finite element method for pricing American multi-asset put options
• Application of the local radial basis function-based finite difference method for pricing American options
• Augmented Lagrangian method applied to American option pricing
• Computational Methods for Option Pricing
• Constructing positive reliable numerical solution for American call options: a new front-fixing approach
• Finite difference approximation for pricing the American lookback option
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• Finite element and discontinuous Galerkin methods with perfect matched layers for American options
• Multigrid for American option pricing with stochastic volatility
• Numerical methods for pricing American options with time-fractional PDE models
• Numerical techniques for the valuation of basket options and their Greeks
• On multigrid for linear complementarity problems with application to American-style options
• On the solution of complementarity problems arising in American options pricing
• On the theory of option pricing
• Penalty methods for American options with stochastic volatility
• Penalty methods for the numerical solution of American multi-asset option problems
• Pricing American bond options using a penalty method
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• Spectral methods for the Black-Scholes model of American options valuation
• The pricing of options and corporate liabilities

Cited in

(16)

• Accurate numerical method for pricing two-asset American put options
• An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
• Finite difference method for pricing problem of American multi-asset option
• Numerical Study of Splitting Methods for American Option Valuation
• The forward-path method for pricing multi-asset American-style options under general diffusion processes
• Primal-dual active set method for pricing American better-of option on two assets
• A fast numerical method for the valuation of American lookback put options
• Projection and contraction method for the valuation of American options
• Multi-asset American options and parallel quantization
• Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
• On some generalized American style derivatives
• A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY
• Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
• A penalty method for American multi-asset option problems
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty

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