Finite element method for valuation of American lookback options
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Publication:2987385
zbMATH Open1389.91131MaRDI QIDQ2987385FDOQ2987385
Authors: Haiming Song, Qi Zhang, Jingzhi Li, Hongyu Liu 
Publication date: 17 May 2017
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- scientific article; zbMATH DE number 6453569
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
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