An efficient numerical method for pricing a Russian option with a finite time horizon
DOI10.1080/00207160.2021.1872063zbMath1480.91312OpenAlexW3119454644MaRDI QIDQ5033385
Publication date: 22 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2021.1872063
linear complementarity problemfinite differencemixed boundary conditionRussian optionoption valuation
Numerical methods (including Monte Carlo methods) (91G60) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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