A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model

DOI10.4208/cicp.190513.131114azbMath1375.91243OpenAlexW2314176297MaRDI QIDQ5372346

Andrew Sward, David P. Nicholls

Publication date: 27 October 2017

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5ba1f3ee5b89f522ef0d3f01b628a99ecb3f1e68

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) 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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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