American-type basket option pricing: a simple two-dimensional partial differential equation

DOI10.1080/14697688.2019.1588987zbMath1422.91764WikidataQ115295385 ScholiaQ115295385MaRDI QIDQ5235458

Daniël Linders, Hamza Hanbali

Publication date: 11 October 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/648656

zbMATH Keywords

finite difference method; partial differential equations; comonotonicity; Black-Scholes; basket options; least-squares Monte Carlo; pricing and hedging

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

Uses Software

• R
• MASS (R)