Optimal control of European double barrier basket options

DOI10.1515/JNUM.2011.006zbMath1218.91154OpenAlexW2042300654MaRDI QIDQ3087040

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Publication date: 2 August 2011

Published in: Journal of Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jnum.2011.006

zbMATH Keywords

optimal controlfinite element discretizationBlack-Scholes equationDirichlet and final time controlEuropean double barrier basket optionsmultiple cash settlements

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimality conditions for problems involving partial differential equations (49K20) Applications of optimal control and differential games (49N90) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Derivative securities (option pricing, hedging, etc.) (91G20) Discrete approximations in optimal control (49M25)

Cites Work

• Robust static hedging of barrier options in stochastic volatility models
• Pricing Multi-Asset Options with an External Barrier
• A Continuity Correction for Discrete Barrier Options
• HEDGING DOUBLE BARRIERS WITH SINGLES
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Barrier options and their static hedges: simple derivations and extensions
• Duality in static hedging of barrier options
• Multi‐asset barrier options and occupation time derivatives

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