An Efficient Method for Option Pricing with Finite Elements: An Endogenous Element Length Approach

DOI10.1007/978-3-319-00795-3_30zbMath1305.91240OpenAlexW204168988MaRDI QIDQ5171802

Tomoya Horiuchi, Kei Takahashi, Takahiro Ohno

Publication date: 12 February 2015

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00795-3_30

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)

Cites Work

• PDE methods for pricing barrier options
• Unnamed Item

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