An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation

DOI10.4208/aamm.OA-2019-0107zbMath1488.91161OpenAlexW3034072902MaRDI QIDQ5156976

Xiaowei Pang, Haiming Song, Kai Zhang, Xiao Shen Wang

Publication date: 12 October 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.oa-2019-0107

zbMATH Keywords

finite element methodfront-fixing transformationAmerican better-of optionfar field truncation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets ⋮ A posteriori error estimator for weak Galerkin finite element method for Stokes problem using diagonalization techniques

Cites Work

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