Primal-Dual Active Set Method for American Lookback Put Option Pricing

DOI10.4208/eajam.060317.020617azbMath1392.35315OpenAlexW2752605231MaRDI QIDQ4605731

Kai Zhang, Haiming Song, Qi Zhang, Xiao Shen Wang

Publication date: 27 February 2018

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/eajam.060317.020617a

zbMATH Keywords

finite element methodvariational inequalitylinear complementarity problemAmerican lookback optionprimal-dual active set method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Microeconomic theory (price theory and economic markets) (91B24) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Theoretical approximation in context of PDEs (35A35) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets ⋮ A new operator splitting method for American options under fractional Black-Scholes models ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

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