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scientific article; zbMATH DE number 6453569 - MaRDI portal

scientific article; zbMATH DE number 6453569

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DOI10.13413/J.CNKI.JDXBLXB.2014.06.11zbMath1324.91076MaRDI QIDQ5260162

Qi Zhang, Jinglu Gao

Publication date: 29 June 2015

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal exercise boundary American lookback call option variable mesh finite element algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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