An inverse finite element method for pricing American options

DOI10.1016/j.jedc.2012.08.002zbMath1345.91083OpenAlexW2060137976MaRDI QIDQ315621

Wen-Ting Chen, Song-Ping Zhu

Publication date: 22 September 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.08.002

zbMATH Keywords

convergence analysisAmerican optionsBlack-Scholes modelinverse finite elements

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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 methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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