scientific article; zbMATH DE number 6453569

DOI10.13413/J.CNKI.JDXBLXB.2014.06.11MaRDI QIDQ5260162zbMATH OpenFDO

Authors Qi Zhang, Jinglu Gao

Publication date 29 June 2015

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2014.06.11

zbMATH Keywords

American lookback call optionoptimal exercise boundaryvariable mesh finite element algorithm

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• A finite element approach to the pricing of discrete lookbacks with stochastic volatility
• Exercise Regions And Efficient Valuation Of American Lookback Options
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