High-order computational methods for option valuation under multifactor models

DOI10.1016/J.EJOR.2012.07.023zbMath1292.91188OpenAlexW2007746644MaRDI QIDQ2253418

Désiré Yannick Tangman, M. R. Lollchund, Muddun Bhuruth, Nisha Rambeerich

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.07.023

zbMATH Keywords

American optionsfinanceGalerkin discretizationexponential time integrationstochastic volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) 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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