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

DOI10.1080/14697688.2019.1588987zbMath1422.91764OpenAlexW2936665752WikidataQ115295385 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 methodpartial differential equationscomonotonicityBlack-Scholesbasket optionsleast-squares Monte Carlopricing and hedging

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables

Uses Software

• R
• MASS (R)

Cites Work

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