Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
From MaRDI portal
Publication:394918
DOI10.1016/j.jmaa.2013.02.007zbMath1281.91177MaRDI QIDQ394918
Andrea Pascucci, María Suárez-Taboada, Carlos Vázquez
Publication date: 28 January 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.007
finite elements; obstacle problems; Kolmogorov equation; anisotropic regularity; augmented Lagrangian active set method; characteristics time discretization; stock loans
Related Items
Valuation of stock loan under uncertain stock model with floating interest rate, Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options, Valuation of stock loan under uncertain environment, Stock loan valuation under a stochastic interest rate model
Cites Work
- Unnamed Item
- Unnamed Item
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
- Augmented Lagrangian active set methods for obstacle problems
- Free boundary and optimal stopping problems for American Asian options
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- PDE and martingale methods in option pricing.
- Obstacle problem for arithmetic Asian options
- An upwind approach for an American and European option pricing model
- A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
- On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
- A continuous dependence result for ultraparabolic equations in option pricing
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Far Field Boundary Conditions for Black--Scholes Equations
- Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
- OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
- Valuation of Stock Loans with Regime Switching
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
- Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
- STOCK LOANS
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
