An efficient numerical method for the valuation of American multi-asset options
DOI10.1007/s40314-020-01290-9zbMath1474.91249OpenAlexW3048951283MaRDI QIDQ2204166
Qi Zhang, Haiming Song, Chengbo Yang, Fangfang Wu
Publication date: 15 October 2020
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-020-01290-9
finite element methodlinear complementarity problemprojection and contraction methodAmerican multi-asset optionsfar-field boundary estimate
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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)
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