Primal-Dual Active-Set Method for the Valuation Of American Exchange Options
DOI10.4208/EAJAM.2022-227.221222OpenAlexW4382601808MaRDI QIDQ6139023FDOQ6139023
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Publication date: 18 December 2023
Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.2022-227.221222
finite element methodlinear complementarity problemprimal-dual active-set methodAmerican exchange option
Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) A priori estimates in context of PDEs (35B45) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Theoretical approximation in context of PDEs (35A35)
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