Valuation of American passport option using a three-time level scheme

DOI10.1007/s40314-019-0785-9zbMath1449.91190OpenAlexW2920439332MaRDI QIDQ2322412

Ankur Kanaujiya, Siddhartha P. Chakrabarty

Publication date: 4 September 2019

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

Full work available at URL: https://doi.org/10.1007/s40314-019-0785-9

zbMATH Keywords

linear complementarity problemsAmerican passport optionthree-time level scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Pricing and estimates of Greeks for passport option: A three time level approach
• Variational inequalities and the pricing of American options
• Pricing European passport option with radial basis function
• An efficient hybrid numerical scheme for convection-dominated boundary-value problems
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• Tools for computational finance.
• Stochastic differential equations. An introduction with applications.
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