A Reduced Basis Method for the Simulation of American Options

DOI10.1007/978-3-642-33134-3_85zbMath1269.91086arXiv1201.3289MaRDI QIDQ2838569

Bernard Haasdonk, Julien Salomon, Barbara I. Wohlmuth

Publication date: 10 July 2013

Published in: Numerical Mathematics and Advanced Applications 2011 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3289

zbMATH Keywords

American options; reduced basis method; time-dependent variational inequality; reduced spaces; angle-greedy procedure; POD-greedy procedure

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

65K15: Numerical methods for variational inequalities and related problems