Numerical valuation of Bermudan basket options via partial differential equations

DOI10.1080/00207160.2020.1786542zbMath1480.91316arXiv1909.01164OpenAlexW3036439504MaRDI QIDQ5031294

Jacob Snoeijer, Karel J. in 't Hout

Publication date: 18 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.01164

zbMATH Keywords

stabilityconvergenceprincipal component analysisfinite differencesADI schemeBermudan basket options

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

Uses Software

• DGM

Cites Work

• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
• DGM: a deep learning algorithm for solving partial differential equations
• Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
• Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs
• Algorithmic Differentiation in Finance Explained
• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

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