POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING

DOI10.1017/S0004972717000971zbMath1381.65051OpenAlexW2607390317MaRDI QIDQ4601190

Louis Bhim

Publication date: 12 January 2018

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972717000971

zbMATH Keywords

optimal stoppingregime switchingobstacle problemfree-boundary problemdual approachpolynomial boundsAmerican option price

Mathematics Subject Classification ID

Semidefinite programming (90C22) Variational inequalities (49J40) Numerical methods based on nonlinear programming (49M37) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

Uses Software

• SDPT3

Cites Work

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• Solving semidefinite-quadratic-linear programs using SDPT3
• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
• Pricing American Options: A Duality Approach
• An Introduction to Variational Inequalities and Their Applications
• SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
• Monte Carlo valuation of American options
• On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming
• Pre- and Post-Processing Sum-of-Squares Programs in Practice

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