An efficient numerical method for pricing a Russian option with a finite time horizon

DOI10.1080/00207160.2021.1872063zbMATH Open1480.91312OpenAlexW3119454644MaRDI QIDQ5033385FDOQ5033385

Authors: Zhongdi Cen, Anbo Le 

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

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zbMATH Keywords

finite differencelinear complementarity problemmixed boundary conditionRussian optionoption valuation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Cites Work

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• An integral equation representation approach for valuing Russian options with a finite time horizon
• The Russian option: finite horizon
• Russian options with a finite time horizon
• American Options with Lookback Payoff
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• A robust finite difference scheme for pricing American put options with singularity-separating method
• A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
• On the error estimate of finite difference method for the obstacle problem
• A uniqueness theorem for the generalized-order linear complementary problem associated with \(M\)-matrices
• Finite expiry Russian options

Cited In (2)

• An integral equation representation approach for valuing Russian options with a finite time horizon
• Valuing finite-lived Russian options

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