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

DOI10.1017/S0004972717000971zbMATH Open1381.65051OpenAlexW2607390317MaRDI QIDQ4601190FDOQ4601190

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

• Solving semidefinite-quadratic-linear programs using SDPT3
• An Introduction to Variational Inequalities and Their Applications
• Pre- and Post-Processing Sum-of-Squares Programs in Practice
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• Monte Carlo valuation of American options
• Pricing American Options: A Duality Approach
• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
• On weak approximation of stochastic differential equations through hard bounds by mathematical programming
• Smooth upper bounds for the price function of American style options

Uses Software

• SDPT3

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