Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem

DOI10.1016/j.jmaa.2013.02.007zbMath1281.91177OpenAlexW1993872238MaRDI QIDQ394918

Andrea Pascucci, María Suárez-Taboada, Carlos Vázquez

Publication date: 28 January 2014

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.007

zbMATH Keywords

finite elementsobstacle problemsKolmogorov equationanisotropic regularityaugmented Lagrangian active set methodcharacteristics time discretizationstock loans

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items

Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options ⋮ Stock loan valuation under a stochastic interest rate model ⋮ Valuation of stock loan under uncertain environment ⋮ Valuation of stock loan under uncertain stock model with floating interest rate

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
• Augmented Lagrangian active set methods for obstacle problems
• Free boundary and optimal stopping problems for American Asian options
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems
• Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
• PDE and martingale methods in option pricing.
• Obstacle problem for arithmetic Asian options
• An upwind approach for an American and European option pricing model
• A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations
• On the transport-diffusion algorithm and its applications to the Navier-Stokes equations
• A continuous dependence result for ultraparabolic equations in option pricing
• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• Far Field Boundary Conditions for Black--Scholes Equations
• Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
• OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
• Valuation of Stock Loans with Regime Switching
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part I: Time Discretization
• Numerical Analysis of Convection‐Diffusion‐Reaction Problems with Higher Order Characteristics/Finite Elements. Part II: Fully Discretized Scheme and Quadrature Formulas
• STOCK LOANS
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion