Variational inequalities applied to option market problem

DOI10.1016/J.AMC.2007.12.033zbMATH Open1142.91528OpenAlexW1985264054MaRDI QIDQ945263FDOQ945263

Authors: V. P. Israel, Mauro A. Rincon 

Publication date: 12 September 2008

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

Full work available at URL: https://doi.org/10.1016/j.amc.2007.12.033

Recommendations

• scientific article; zbMATH DE number 1810265
• Variational inequalities and the pricing of American options
• scientific article; zbMATH DE number 2094611
• A DEGENERATE PARABOLIC VARIATIONAL INEQUALITY FOR THE AMERICAN OPTION PRICING PROBLEM
• Finite volume methods for the valuation of American options

zbMATH Keywords

option pricingvariational inequalitiesfinite elements methodsSOR method

Mathematics Subject Classification ID

Variational inequalities (49J40)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some mathematical results in the pricing of American options
• On the approximation of optimal stopping problems with application to financial mathematics

Cited In (15)

• Numerical treatment of the Black-Scholes variational inequality in computational finance.
• Variational inequalities and the pricing of American options
• Pricing American options under Azzalini Ito-McKean skew Brownian motions
• Title not available (Why is that?)
• Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
• On variational inequalities for auction market problems
• A variational inequality arising from European option pricing with transaction costs
• An implicit scheme for American put options
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• An inverse problem in American options as a mathematical program with equilibrium constraints: C-stationarity and an active-set-Newton solver
• Augmented Lagrangian method applied to American option pricing
• Probabilistic solution of the American options
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Title not available (Why is that?)
• Real options and variational inequalities

This page was built for publication: Variational inequalities applied to option market problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q945263)