PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution

DOI10.1016/J.CAMWA.2019.09.014zbMath1448.91291OpenAlexW2978027618WikidataQ127216485 ScholiaQ127216485MaRDI QIDQ2004615

Daniel Ševčovič, Iñigo Arregui, Carlos Vázquez, Beatriz Salvador

Publication date: 7 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2019.09.014

zbMATH Keywords

finite elementsAmerican option pricingmethod of characteristicscounterparty riskparabolic variational inequalities(non)linear PDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS ⋮ Models and numerical methods for XVA pricing under mean reversion spreads in a multicurrency framework ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

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