Using spectral element method to solve variational inequalities with applications in finance
DOI10.1016/j.chaos.2015.09.006zbMath1355.91081OpenAlexW2180922895MaRDI QIDQ508514
Sohrab Ali Yousefi, Mojtaba Moradipour
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
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical methods for variational inequalities and related problems (65K15)
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Cites Work
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- Finite element solution of diffusion problems with irregular data
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