Front-fixing FEMs for the pricing of American options based on a PML technique

DOI10.1080/00036811.2014.907563zbMath1318.35133OpenAlexW1970360591WikidataQ58167314 ScholiaQ58167314MaRDI QIDQ5249951

Kai Zhang, Haiming Song, Jingzhi Li

Publication date: 13 May 2015

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2014.907563

zbMATH Keywords

American option pricingperfectly matched layeroptimal exercise boundarydiscontinuous Galerkin discretizationfront-fixing

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) 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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Uses Software

• DerivaGem

Cites Work

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