An efficient numerical method for pricing a Russian option with a finite time horizon
DOI10.1080/00207160.2021.1872063zbMath1480.91312MaRDI QIDQ5033385
Publication date: 22 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2021.1872063
linear complementarity problem; finite difference; mixed boundary condition; Russian option; option valuation
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
65M15: Error bounds for initial value and initial-boundary value problems involving PDEs
