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

DOI10.1017/S0004972717000971MaRDI QIDQ4601190zbMATH OpenOpenAlexFDO

Authors 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

regime switchingfree-boundary problemobstacle problemoptimal stoppingdual approachpolynomial boundsAmerican option price

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3899626 (Why is no real title available?)
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• An Introduction to Variational Inequalities and Their Applications
• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
• 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
• Pricing American Options: A Duality Approach
• Smooth upper bounds for the price function of American style options
• Solving semidefinite-quadratic-linear programs using SDPT3

Describes a project that uses

Uses Software

• SDPT3

This page was built for publication: POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601190)