An efficient numerical method for the valuation of American multi-asset options
DOI10.1007/S40314-020-01290-9zbMATH Open1474.91249OpenAlexW3048951283MaRDI QIDQ2204166FDOQ2204166
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
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finite element methodlinear complementarity problemprojection and contraction methodAmerican multi-asset optionsfar-field boundary estimate
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)
Cites Work
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- Finite element and discontinuous Galerkin methods with perfect matched layers for American options
- A fast numerical method for the valuation of American lookback put options
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- Finite difference approximation for pricing the American lookback option
Cited In (16)
- Finite difference method for pricing problem of American multi-asset option
- Primal-dual active set method for pricing American better-of option on two assets
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- A fast numerical method for the valuation of American lookback put options
- The forward-path method for pricing multi-asset American-style options under general diffusion processes
- Accurate numerical method for pricing two-asset American put options
- Multi-asset American options and parallel quantization
- A penalty method for American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Projection and contraction method for the valuation of American options
- Numerical Study of Splitting Methods for American Option Valuation
- On some generalized American style derivatives
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
- A VALUATION FORMULA FOR MULTI-ASSET, MULTI-PERIOD BINARIES IN A BLACK–SCHOLES ECONOMY
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