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

DOI10.1080/00207160.2021.1872063MaRDI QIDQ5033385zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 796441 (Why is no real title available?)
• 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
• A uniqueness theorem for the generalized-order linear complementary problem associated with \(M\)-matrices
• American Options with Lookback Payoff
• An integral equation representation approach for valuing Russian options with a finite time horizon
• Arbitrage pricing of Russian options and perpetual lookback options
• Finite expiry Russian options
• Mathematical models of financial derivatives
• On the error estimate of finite difference method for the obstacle problem
• Russian options with a finite time horizon
• The Russian option: Reduced regret
• The Russian option: finite horizon
• Valuing finite-lived 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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