Using spectral element method to solve variational inequalities with applications in finance
DOI10.1016/J.CHAOS.2015.09.006zbMATH Open1355.91081OpenAlexW2180922895MaRDI QIDQ508514FDOQ508514
Authors: Mojtaba Moradipour, S. A. Yousefi 
Publication date: 7 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2015.09.006
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for variational inequalities and related problems (65K15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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Cited In (3)
- Dynamical behavior of reaction-diffusion neural networks and their synchronization arising in modeling epileptic seizure: a numerical simulation study
- Pseudomonotone variational inequality in action: case of the French dairy industrial network dynamics
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
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