On the approximation of optimal stopping problems with application to financial mathematics
From MaRDI portal
Publication:2706472
DOI10.1137/S1064827599364647zbMATH Open0980.60047OpenAlexW2013657345MaRDI QIDQ2706472FDOQ2706472
Authors: Michael D. Marcozzi 
Publication date: 19 March 2001
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s1064827599364647
Recommendations
- On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
- Finite difference approximation for stochastic optimal stopping problems with delays
- scientific article; zbMATH DE number 1057570
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Numerical methods for an optimal multiple stopping problem
Degenerate parabolic equations (35K65) Stopping times; optimal stopping problems; gambling theory (60G40)
Cited In (27)
- Calibration of a path-dependent volatility model: empirical tests
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- Optimal control of ultradiffusion processes with application to mathematical finance
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Approximation of optimal stopping problems.
- A numerical analysis of variational valuation techniques for derivative securities
- Title not available (Why is that?)
- Optimal stopping and American options with discrete dividends and exogenous risk
- Title not available (Why is that?)
- Superconvergence estimates of finite element methods for American options
- Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
- On the valuation of interest rate products under multi-factor HJM term-structures
- Finite difference approximation for stochastic optimal stopping problems with delays
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Penalty methods for the numerical solution of American multi-asset option problems
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance
- A spectral method for bonds
- From Disorder Detection to Optimal Stopping and Mathematical Finance
- A penalty method for American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Title not available (Why is that?)
- Title not available (Why is that?)
- Variational inequalities applied to option market problem
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
Uses Software
This page was built for publication: On the approximation of optimal stopping problems with application to financial mathematics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2706472)
