Comparison of two algorithms to solve the fixed-strike Amerasian options pricing problem

zbMATH Open1286.91147MaRDI QIDQ3436962FDOQ3436962

Authors: Alfredo Bermúdez, María Rodríguez-Nogueiras, Carlos Vázquez 

Publication date: 11 May 2007

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zbMATH Keywords

active set methodsLagrange-Galerkin methodBlack-Scholes modelsAmerasian optionsduality algorithms

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cited In (5)

• Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
• Comparison of two numerical methods for computation of American type of the floating strike Asian option
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Title not available (Why is that?)
• Pricing pension plans under jump-diffusion models for the salary

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