scientific article; zbMATH DE number 6136940

MaRDI QIDQ4905484zbMATH OpenFDO

Authors Sajid Memon

Publication date 18 February 2013

zbMATH Keywords

American optionserror analysisfinite element methodpenalty methodvariational inequality

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• scientific article; zbMATH DE number 1894311
• A finite volume element method for American options
• A Front-Fixing Finite Element Method for the Valuation of American Options
• An inverse finite element method for pricing American options
• An efficient finite element method for pricing American multi-asset put options
• Finite element and discontinuous Galerkin methods with perfect matched layers for American options
• Finite element method for valuation of American lookback options
• Penalty methods for the numerical solution of American multi-asset option problems
• scientific article; zbMATH DE number 6831341

Cited in

(24)

• A two-grid penalty method for American options
• Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
• An RBF-FD method for pricing American options under jump-diffusion models
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
• A finite volume element method for American options
• scientific article; zbMATH DE number 6001326 (Why is no real title available?)
• scientific article; zbMATH DE number 6831341 (Why is no real title available?)
• scientific article; zbMATH DE number 1810265 (Why is no real title available?)
• An inverse finite element method for pricing American options
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation
• Numerical treatment of the Black-Scholes variational inequality in computational finance.
• scientific article; zbMATH DE number 5732372 (Why is no real title available?)
• Modified barrier penalization method for pricing American options
• scientific article; zbMATH DE number 2094611 (Why is no real title available?)
• Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
• A Model for Optimal Human Navigation with Stochastic Effects
• scientific article; zbMATH DE number 6453569 (Why is no real title available?)
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
• American option pricing problem transformed on finite interval
• A penalty method for American multi-asset option problems
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
• Real options pricing by the finite element method
• The randomized American option as a classical solution to the penalized problem

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4905484)