An efficient finite element method for pricing American multi-asset put options

DOI10.1016/j.cnsns.2015.03.022OpenAlexW2057576018MaRDI QIDQ2198473

Yanyan Li

Publication date: 10 September 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2015.03.022

zbMATH Keywords

perfectly matched layerlinear complementary problemsemi-implicit finite element methodAmerican multi-asset put options

Mathematics Subject Classification ID

Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Theoretical approximation in context of PDEs (35A35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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A comparative analysis of local meshless formulation for multi-asset option models ⋮ A penalty method for American multi-asset option problems ⋮ Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations ⋮ Primal-Dual Active Set Method for American Lookback Put Option Pricing ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ An Efficient Numerical Method for the Valuation of American Better-of Options Based on the Front-Fixing Transform and the Far Field Truncation ⋮ An unconditionally energy-stable second-order time-accurate scheme for the Cahn-Hilliard equation on surfaces ⋮ 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 ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

Cites Work

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