Penalty methods for the numerical solution of American multi-asset option problems
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Publication:952073
DOI10.1016/J.CAM.2007.10.041zbMATH Open1152.91542OpenAlexW1965135515MaRDI QIDQ952073FDOQ952073
Authors: Bjørn Fredrik Nielsen, Ola Skavhaug, Aslak Tveito 
Publication date: 6 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.041
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Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) 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)
Cites Work
- The pricing of options and corporate liabilities
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- Far field boundary conditions for Black-Scholes equations
- Quadratic convergence for valuing American options using a penalty method
- Some mathematical results in the pricing of American options
- Penalty methods for American options with stochastic volatility
- A finite volume approach for contingent claims valuation
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- The valuation of foreign currency options under stochastic interest rates
- A penalty method for American options with jump diffusion processes
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- On the use of boundary conditions for variational formulations arising in financial mathematics.
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- On the approximation of optimal stopping problems with application to financial mathematics
- A numerical analysis of variational valuation techniques for derivative securities
Cited In (50)
- The effect of nonsmooth payoffs on the penalty approximation of American options
- Finite difference method for pricing problem of American multi-asset option
- An integro-differential parabolic variational inequality arising from the valuation of double barrier American option
- Conditional full stability of positivity-preserving finite difference scheme for diffusion-advection-reaction models
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Penalty method for indifference pricing of American option in a liquidity switching market
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- Pricing and simulation for real estate index options: radial basis point interpolation
- Multi-asset Black-Scholes model as a variable second class constrained dynamical system
- A two-grid penalty method for American options
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- An efficient numerical method for the valuation of American multi-asset options
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Numerical analysis of novel finite difference methods
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- Title not available (Why is that?)
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- A method-of-lines approach for solving American option problems
- The evaluation of compound options based on RBF approximation methods
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
- Inexact arithmetic considerations for direct control and penalty methods: American options under jump diffusion
- A new method for evaluating options based on multiquadric RBF-FD method
- The randomized American option as a classical solution to the penalized problem
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Pricing European and American options by radial basis point interpolation
- Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- Radial basis function partition of unity methods for pricing vanilla basket options
- A power penalty approach to numerical solutions of two-asset American options
- Title not available (Why is that?)
- Quadratic convergence for valuing American options using a penalty method
- Penalty American options
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Modified barrier penalization method for pricing American options
- Accurate numerical method for pricing two-asset American put options
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- A penalty method for American multi-asset option problems
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- An efficient computational algorithm for pricing European, barrier and American options
- An efficient finite element method for pricing American multi-asset put options
- Application of the local radial basis function-based finite difference method for pricing American options
- Radial basis functions method for valuing options: a multinomial tree approach
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Pricing real estate index options by compactly supported radial-polynomial basis point interpolation
- Fast and accurate calculation of American option prices
- Algorithms of finite difference for pricing American options under fractional diffusion models
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