Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty

DOI10.1007/s10915-007-9150-zzbMath1210.91133OpenAlexW2066349460MaRDI QIDQ2465446

Pavlo Kovalov, Michael D. Marcozzi, Vadim Linetsky

Publication date: 4 January 2008

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-007-9150-z

zbMATH Keywords

Finite element methodVariational inequalityPenalty methodOption pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• SUNDIALS

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• SUNDIALS
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